2
xt
.
An important formula of dierentiation is the socalled chain rule. If
u = u(x, y) where x = x(s, t) and y = y(s, t) then
u
s
=
u
x
x
s
+
u
y
y
s
.
Likewise,
u
t
=
u
x
x
t
+
u
y
y
t
.
1 SOME RESULTS OF CALCULUS 9
Example 1.2
Compute the partial derivatives indicated:
(a)
y
(y
2
sin xy)
(b)
2
x
2
[e
x+y
]
2
Solution.
(a) We have
y
(y
2
sin xy) = sin xy
y
(y
2
)+y
2
y
(sin xy) = 2y sin xy+xy
2
cos xy.
(b) We have
x
[e
x+y
]
2
=
x
e
2(x+y)
= 2e
2(x+y)
. Thus,
2
x
2
[e
x+y
]
2
=
x
2e
2(x+y)
=
4e
2(x+y)
Example 1.3
Suppose u(x, y) = sin (x
2
+ y
2
), where x = te
s
and y = s +t. Find u
s
and u
t
.
Solution.
We have
u
s
=u
x
x
s
+ u
y
y
s
= 2x cos (x
2
+ y
2
)te
s
+ 2y cos (x
2
+ y
2
)
=[2t
2
e
2s
+ 2(s + t)] cos [t
2
e
2s
+ (s + t)
2
]
Likewise,
u
t
=u
x
x
t
+ u
y
y
t
= 2x cos (x
2
+ y
2
)e
s
+ 2y cos (x
2
+ y
2
)
=[2te
2s
+ 2(s + t)] cos [t
2
e
2s
+ (s + t)
2
]
Often we must dierentiate an integral with respect to a parameter which
may appear in the limits of integration, or in the integrand.
Let f(x, t) be a continuous function in the rectangle {a x b} {c t
d}. Assume that
f
t
is continuous on this rectangle. Dene the function
J(t) =
_
b(t)
a(t)
f(x, t)dx
where a(t) and b(t) are continuously dierentiable functions of t such that
a a(t) b(t) b.
Theorem 1.2
dJ
dt
=
d
dt
_
b(t)
a(t)
f(x, t)dx
=f(b(t), t)b
(t) +
_
b(t)
a(t)
f
t
(x, t)dx
10 PRELIMINARIES
Example 1.4
Consider the heat problem
u
t
= ku
xx
u, > 0, k > 0, 0 < x < L, t > 0
with boundary conditions u
x
(0, t) = 0 = u
x
(L, t) and initial condition u(x, 0) =
f(x). Let E(t) =
1
2
_
L
0
u
2
dx.
(a) Show that E
(t) 0.
(b) Show that E(t)
_
L
0
1
2
f(x)
2
dx.
Solution.
(a) We have
dE
dt
=
1
2
_
L
0
t
u
2
(x, t)dx
=
_
L
0
u(x, t)u
t
(x, t)dx = k
_
L
0
u(x, t)u
xx
(x, t)dx
_
L
0
u
2
(x, t)dx
= ku(x, t)u
x
(x, t)
L
0
k
_
L
0
u
2
x
(x, t)dx
_
L
0
u
2
(x, t)dx
=k
_
L
0
u
2
x
(x, t)dx
_
L
0
u
2
(x, t)dx 0
(b) From (a) we conclude that E(t) is a decreasing function of t > 0. Thus,
E(t) E(0) =
1
2
_
L
0
u
2
(x, 0)dx =
_
L
0
1
2
f(x)
2
dx
The Least Upper Bound
A function f : D R is said to be bounded from above in D if there is a
constant M such that f(x) M for all x D. We call M an upper bound
of f. Note that the numbers, M + 1, M + 2, are also upper bounds of
f. The smallest upper bound of f is called the least upper bound or the
supremum. If M is the supremum of f in D we write
M = sup{f(x) : x D}.
Note that if N is any upper bound of f in D then M N.
Example 1.5
Find the supremum of f(x) = sin x.
1 SOME RESULTS OF CALCULUS 11
Solution.
The graph of f is bounded between 1 and 1. Thus, sup{f(x) : x R} = 1
Example 1.6
Find
sup
_
2
sin
_
x
_
sin
_
t
: x R, t > 0
_
Solution.
The answer is
sup
_
2
sin
_
x
_
sin
_
t
: x R, t > 0
_
=
2
12 PRELIMINARIES
Practice Problems
Exercise 1.1
Compute the partial derivatives indicated:
(a)
x
(y
2
sin xy)
(b)
2
x
2
(e
x
2
y
)
(c)
4
xy
2
z
_
z ln
_
x
2
y
__
.
Exercise 1.2
Find all the rst partial derivatives of the functions:
(a) f(x, y) = x
4
+ 6
y
(b) f(x, y, z) = x
2
y 10y
2
z
3
+ 43x 7 tan (4y)
(c) f(s, t) = t
7
ln (s
2
) +
9
t
3
7
s
4
(d) f(x, y) = cos
_
4
x
_
e
x
2
y5y
3
(e) f(u, v) =
9u
u
2
+5v
(f) f(x, y, z) =
xsin y
z
2
(g) f(x, y) =
_
x
2
+ ln (5x 3y
2
)
Exercise 1.3
Let f(x, y) = e
3x
cos y. Compute f
x
(0, 2).
Exercise 1.4
If z = e
x
sin y, x = st
2
, and y = s
2
t, nd
z
s
and
z
t
.
Exercise 1.5
In the equation
u
x
u
y
= x 2y
identify the independent variable(s) and the dependent variable.
Exercise 1.6
Let f be an odd function, that is, f(x) = f(x) for all x R. Show that
for all a R we have
_
a
a
f(x)dx = 0.
1 SOME RESULTS OF CALCULUS 13
Exercise 1.7
Let f be an even function, that is, f(x) = f(x) for all x R. Show that
for all a R we have
_
a
a
f(x)dx = 2
_
a
0
f(x)dx.
Exercise 1.8
Use the product rule of derivatives to derive the formula of integration by
parts
_
uv
dx = uv
_
u
vdx.
Exercise 1.9
Let u
(x, t) =
2
sin
_
x
_
sin
_
t
_
. Find u
tt
and u
xx
.
Exercise 1.10
Let u
(x, t) =
2
sin
_
x
_
sinh
_
t
_
, where
sinh x =
e
x
e
x
2
.
Find u
tt
and u
xx
.
Exercise 1.11
Find
sup
_
2
sinh
_
t
_
sin
_
x
: x R
_
.
Exercise 1.12
Let u
n
(x, t) = 1 +
e
n
2
t
n
sin nx.
(a) Find sup{u
n
(x, 0) 1 : x R}.
(b) Find sup{u
n
(x, t) 1 : x R}.
14 PRELIMINARIES
2 Sequences of Functions: Pointwise and Uni
form Convergence
Later in this book we will be constructing solutions to PDEs involving innite
sums of sines and cosines. These innite sums or series are called Fourier
series. Fourier series are examples of series of functions. Convergence of
series of functions is dened in terms of convergence of a sequence of func
tions. In this section we study the two types of convergence of sequences of
functions.
Recall that a sequence of numbers {a
n
}
n=1
is said to converge to a number
L if and only if for every given > 0 there is a positive integer N = N()
such that for all n N we havea
n
L < .
What is the analogue concept of convergence when the terms of the sequence
are variables? Let D R and for each n N consider a function f
n
: D R.
Thus, we obtain a sequence of functions {f
n
}
n=1
. For such a sequence, there
are two types of convergenve that we consider in this section: pointwise con
vergence and uniform convergence.
We say that {f
n
}
n=1
converges pointwise on D to a function f : D R if
and only if for a given a D and > 0 there is a positive integer N = N(a, )
such that if n N then f
n
(a) f(a) < . In symbol, we write
lim
n
f
n
(a) = f(a).
It is important to note that N is a function of both a and .
Example 2.1
Dene f
n
: [0, ) R by f
n
(x) =
nx
1+n
2
x
2
. Show that the sequence {f
n
}
n=1
converges pointwise to the function f(x) = 0 for all x 0.
Solution.
For all x 0,
lim
n
f
n
(x) = lim
n
nx
1 + n
2
x
2
= 0
Example 2.2
For each positive integer n let f
n
: (0, ) be given by f
n
(x) = nx.
Show that {f
n
}
n=1
does not converge pointwise on D.
2 SEQUENCES OF FUNCTIONS: POINTWISE ANDUNIFORMCONVERGENCE15
Solution.
This follows from the fact that lim
n
nx = for all x D
As pointed out above, for pointwise convergence, the positive integer N de
pends on both the given x and . A stronger convergence concept can be
dened where N depends only on .
Let D be a subset of R and let {f
n
}
n=1
be a sequence of functions dened on
D. We say that {f
n
}
n=1
converges uniformly on D to a function f : D R
if and only if for all > 0 there is a positive integer N = N() such that if
n N then f
n
(x) f(x) < for all x D.
This denition says that the integer N depends only on the given so that
for n N, the graph of f
n
(x) is bounded above by the graph of f(x) + and
below by the graph of f(x) .
Example 2.3
For each positive integer n let f
n
: [0, 1] R be given by f
n
(x) =
x
n
. Show
that {f
n
}
n=1
converges uniformly to the zero function.
Solution.
Let > 0 be given. Let N be a positive integer such that N >
1
. Then for
n N we have
f
n
(x) f(x) =
x
n
1
n
1
N
<
for all x [0, 1]
Clearly, uniform convergence implies pointwise convergence to the same limit
function. However, the converse is not true in general.
Example 2.4
Dene f
n
: [0, ) R by f
n
(x) =
nx
1+n
2
x
2
. By Example 2.1, this sequence
converges pointwise to f(x) = 0. Let =
1
3
. Show that there is no positive
integer N with the property n N implies f
n
(x) f(x) < for all x 0.
Hence, the given sequence does not converge uniformly to f(x).
Solution.
For any positive integer N and for n N we have
f
n
_
1
n
_
f
_
1
n
_
=
1
2
>
16 PRELIMINARIES
Exercise 2.1 below shows a sequence of continuous functions converging point
wise to a discontinuous function. That is, pointwise convergence does not
preserve the property of continuity. One of the interesting features of uniform
convergence is that it preserves continuity as shown in the next example.
Example 2.5
Suppose that for each n 1 the function f
n
: D R is continuous in D.
Suppose that {f
n
}
n=1
converges uniformly to f. Let a D.
(a) Let > 0 be given. Show that there is a positive integer N such that if
n N then f
n
(x) f(x) <
3
for all x D.
(b) Show that there is a > 0 such that for all x a < we have f
N
(x)
f
N
(a) <
3
.
(c) Using (a) and (b) show that for x a < we have f(x) f(a) < .
Hence, f is continuous in D since a was arbitrary. Symbolically we write
lim
xa
lim
n
f
n
(x) = lim
n
lim
xa
f
n
(x).
Solution.
(a) This follows from the denition of uniform convergence.
(b) This follows from the fact that f
N
is continuous at a D.
(c) For x a < we have f(x) f(a) = f(a) f
N
(a) +f
N
(a) f
N
(x) +
f
N
(x)f(x) f
N
(a)f(a)+f
N
(a)f
N
(x)+f
N
(x)f(x) <
3
+
3
+
3
=
n=1
converges uniformly to f on a closed interval [a, b] then
lim
n
_
b
a
f
n
(x)dx =
_
b
a
lim
n
f
n
(x)dx.
Now, what about dierentiablility? Again, pointwise convergence fails in
general to conserve the dierentiability property. See Exercise 2.1. Does
uniform convergence preserve dierentiability? The answer is still no as
shown in the next example.
2 SEQUENCES OF FUNCTIONS: POINTWISE ANDUNIFORMCONVERGENCE17
Example 2.6
Consider the family of functions f
n
: [1, 1] given by f
n
(x) =
_
x
2
+
1
n
.
(a) Show that f
n
is dierentiable for each n 1.
(b) Show that for all x [1, 1] we have
f
n
(x) f(x)
1
n
where f(x) = x. Hint: Note that
_
x
2
+
1
n
+
x
2
n
.
(c) Let > 0 be given. Show that there is a positive integer N such that for
n N we have
f
n
(x) f(x) < for all x [1, 1].
Thus, {f
n
}
n=1
converges uniformly to the nondierentiable function f(x) =
x.
Solution.
(a) f
n
is the composition of two dierentiable functions so it is dierentiable
with derivative
f
n
(x) = x
_
x
2
+
1
n
_
1
2
.
(b) We have
f
n
(x) f(x) =
_
x
2
+
1
n
x
2
(
_
x
2
+
1
n
x
2
)(
_
x
2
+
1
n
+
x
2
)
_
x
2
+
1
n
+
x
2
=
1
n
_
x
2
+
1
n
+
x
2
1
n
1
n
=
1
n
(c) Let > 0 be given. Since lim
n
1
n
= 0 we can nd a positive integer
N such that for all n N we have
1
n
< . Now the answer to the question
follows from this and part (b)
Even when uniform convergence occurs, the process of interchanging lim
its and dierentiation may fail as shown in the next example.
18 PRELIMINARIES
Example 2.7
Consider the functions f
n
: R R dened by f
n
(x) =
sin nx
n
.
(a) Show that {f
n
}
n=1
converges uniformly to the function f(x) = 0.
(b) Note that {f
n
}
n=1
and f are dierentiable functions. Show that
lim
n
f
n
(x) = f
(x) =
_
lim
n
f
n
(x)
_
.
That is, one cannot, in general, interchange limits and derivatives.
Solution.
(a) Let > 0 be given. Let N be a positive integer such that N >
1
. Then
for n N we have
f
n
(x) f(x) =
sin nx
n
1
n
<
and this is true for all x R. Hence, {f
n
}
n=1
converges uniformly to the
function f(x) = 0.
(b) We have lim
n
f
n
() = lim
n
cos n = lim
n
(1)
n
which does not
converge. However, f
() = 0
Pointwise convergence was not enough to preserve dierentiability, and nei
ther was uniform convergence by itself. Even with uniform convergence the
process of interchanging limits with derivatives is not true in general. How
ever, if we combine pointwise convergence with uniform convergence we can
indeed preserve dierentiability and also switch the limit process with the
process of dierentiation.
Theorem 2.3
Let {f
n
}
n=1
be a sequence of dierentiable functions on [a, b] that converges
pointwise to some function f dened on [a, b]. If {f
n
}
n=1
converges uniformly
on [a, b] to a function g, then the function f is dierentiable with derivative
equals to g. Thus,
lim
n
f
n
(x) = g(x) = f
(x) =
_
lim
n
f
n
(x)
_
.
Finally, we conclude this section with the following important result that is
useful when a given sequence is bounded.
2 SEQUENCES OF FUNCTIONS: POINTWISE ANDUNIFORMCONVERGENCE19
Theorem 2.4
Consider a sequence f
n
: D R. Then this sequence converges uniformly to
f : D R if and only if
lim
n
sup{f
n
(x) f(x) : x D} = 0.
Example 2.8
Show that the sequence dened by f
n
(x) =
cos x
n
converges uniformly to the
zero function.
Solution.
We have
0 sup{
cos x
n
 : x R}
1
n
.
Now apply the squeeze rule for sequences we nd that
lim
n
sup{
cos x
n
 : x R} = 0
which implies that the given sequence converges uniformly to the zero func
tion on R
20 PRELIMINARIES
Practice Problems
Exercise 2.1
Dene f
n
: [0, 1] R by f
n
(x) = x
n
. Dene f : [0, 1] R by
f(x) =
_
0 if 0 x < 1
1 if x = 1.
(a) Show that the sequence {f
n
}
n=1
converges pointwise to f.
(b) Show that the sequence {f
n
}
n=1
does not converge uniformly to f. Hint:
Suppose otherwise. Let = 0.5 and get a contradiction by using a point
(0.5)
1
N
< x < 1.
Exercise 2.2
Consider the sequence of functions
f
n
(x) =
nx + x
2
n
2
dened for all x in R. Show that this sequence converges pointwise to a
function f to be determined.
Exercise 2.3
Consider the sequence of functions
f
n
(x) =
sin (nx + 3)
n + 1
dened for all x in R. Show that this sequence converges pointwise to a
function f to be determined.
Exercise 2.4
Consider the sequence of functions dened by f
n
(x) = n
2
x
n
for all 0 x 1.
Show that this sequence does not converge pointwise to any function.
Exercise 2.5
Consider the sequence of functions dened by f
n
(x) = (cos x)
n
for all
2
x
2
. Show that this sequence converges pointwise to a noncontinuous
function to be determined.
2 SEQUENCES OF FUNCTIONS: POINTWISE ANDUNIFORMCONVERGENCE21
Exercise 2.6
Consider the sequence of functions f
n
(x) = x
x
n
n
dened on [0, 1).
(a) Does {f
n
}
n=1
converge to some limit function? If so, nd the limit func
tion and show whether the convergence is pointwise or uniform.
(b) Does {f
n
}
n=1
converge to some limit function? If so, nd the limit func
tion and show whether the convergence is pointwise or uniform.
Exercise 2.7
Let f
n
(x) =
x
n
1+x
n
for x [0, 2].
(a) Find the pointwise limit f(x) = lim
n
f
n
(x) on [0, 2].
(b) Does f
n
f uniformly on [0, 2]?
Exercise 2.8
For each n N dene f
n
: R R by f
n
(x) =
n+cos x
2n+sin
2
x
.
(a) Show that f
n
1
2
uniformly.
(b) Find lim
n
_
7
2
f
n
(x)dx.
Exercise 2.9
Show that the sequence dened by f
n
(x) = (cos x)
n
does not converge uni
formly on [
2
,
2
].
Exercise 2.10
Let {f
n
}
n=1
be a sequence of functions such that
sup{f
n
(x) : 2 x 5}
2
n
1 + 4
n
.
(a) Show that this sequence converges uniformly to a function f to be found.
(b) What is the value of the limit lim
n
_
5
2
f
n
(x)dx?
22 PRELIMINARIES
Review of Some ODEs Results
Later on in this book, we will encounter problems where a given partial
dierential is reduced to an ordinary dierential function by means of a given
change of variables. Then techniques from the theory of ODE are required in
solving the transformed ODE. In this chapter, we include some of the results
from ODE theory that will be needed in our future discussions.
3 The Method of Integrating Factor
In this section, we discuss a technique for solving the rst order linear non
homogeneous equation
y
p(t)dt
. Multiply Equation (3.1) by (t) and notice that the left hand side of
the resulting equation is the derivative of a product. Indeed,
d
dt
((t)y) = (t)g(t).
Integrate both sides of the last equation with respect to t to obtain
(t)y =
_
(t)g(t)dt + C
Hence,
y(t) =
1
(t)
_
(t)g(t)dt +
C
(t)
or
y(t) = e
p(t)dt
_
e
p(t)dt
g(t)dt + Ce
p(t)dt
23
24 REVIEW OF SOME ODES RESULTS
Notice that the second term of the previous expression is just the general
solution for the homogeneous equation
y
+ p(t)y = 0
whereas the rst term is a solution to the nonhomogeneous equation. That
is, the general solution to Equation (3.1) is the sum of a particular solution of
the nonhomogeneous equation and the general solution of the homogeneous
equation.
Example 3.1
Solve the initial value problem
y
y
t
= 4t, y(1) = 5.
Solution.
We have p(t) =
1
t
so that (t) =
1
t
. Multiplying the given equation by the
integrating factor and using the product rule we notice that
_
1
t
y
_
= 4.
Integrating with respect to t and then solving for y we nd that the general
solution is given by
y(t) = t
_
4dt + Ct = 4t
2
+ Ct.
Since y(1) = 5, we nd C = 1 and hence the unique solution to the IVP is
y(t) = 4t
2
+ t, 0 < t <
Example 3.2
Find the general solution to the equation
y
+
2
t
y = ln t, t > 0.
Solution.
The integrating factor is (t) = e
2
t
dt
= t
2
. Multiplying the given equation
by t
2
to obtain
(t
2
y)
= t
2
ln t.
3 THE METHOD OF INTEGRATING FACTOR 25
Integrating with respect to t we nd
t
2
y =
_
t
2
ln tdt + C.
The integral on the righthand side is evaluated using integration by parts
with u = ln t, dv = t
2
dt, du =
dt
t
, v =
t
3
3
obtaining
t
2
y =
t
3
3
ln t
t
3
9
+ C
Thus,
y =
t
3
ln t
t
9
+
C
t
2
26 REVIEW OF SOME ODES RESULTS
Practice Problems
Exercise 3.1
Solve the IVP: y
+ 2ty = t, y(0) = 0.
Exercise 3.2
Find the general solution: y
+ 3y = t + e
3t
.
Exercise 3.3
Find the general solution: y
+
1
t
y = 3 cos t, t > 0.
Exercise 3.4
Find the general solution: y
+ 2y = cos (3t).
Exercise 3.5
Find the general solution: y
+ 4y = t
2
, y(1) =
1
3
exists on the
interval < t < . What is the value of the constant ?
Exercise 3.7
Suppose that y(t) = Ce
2t
+ t + 1 is the general solution to the equation
y
+ y = g(t), y(0) = y
0
. Determine the constant y
0
and the function g(t).
Exercise 3.9
Find the value (if any) of the unique solution to the IVP y
+ (1 + cos t)y =
1 + cos t, y(0) = 3 in the long run?
Exercise 3.10
Solve
au
x
+ bu
y
+ cu = 0
by using the change of variables s = ax + by and t = bx ay.
3 THE METHOD OF INTEGRATING FACTOR 27
Sample Exam Questions
Exercise 3.11
Solve the initial value problem ty
= y + t, y(1) = 7.
Exercise 3.12
Show that if a and are positive constants, and b is any real number, then
every solution of the equation
y
+ ay = be
t
has the property that y 0 as t . Hint: Consider the cases a = and
a = separately.
Exercise 3.13
Solve the initialvalue problem y
+y = e
t
y
2
, y(0) = 1 using the substitution
u(t) =
1
y(t)
Exercise 3.14
Solve the initialvalue problem ty
+ 2y = t
2
t + 1, y(1) =
1
2
Exercise 3.15
Solve y
1
t
y = sin t, y(1) = 3. Express your answer in terms of the sine
integral, Si(t) =
_
t
0
sin s
s
ds.
28 REVIEW OF SOME ODES RESULTS
4 The Method of Separation of Variables for
ODEs
The method of separation of variables that you have seen in the theory of
ordinary dierential equations has an analogue in the theory of partial dif
ferential equations (Section 17). In this section, we review the method for
ordinary dierentiable equations.
A rst order dierential equation is separable if it can be written with one
variable only on the left and the other variable only on the right:
f(y)y
= g(t)
To solve this equation, we proceed as follows. Let F(t) be an antiderivative
of f(t) and G(t) be an antiderivative of g(t). Then by the Chain Rule
d
dt
F(y) =
dF
dy
dy
dt
= f(y)y
Thus,
f(y)y
g(t) =
d
dt
F(y)
d
dt
G(t) =
d
dt
[F(y) G(t)] = 0
It follows that
F(y) G(t) = C
which is equivalent to
_
f(y)y
dt =
_
g(t)dt + C
As you can see, the result is generally an implicit equation involving a func
tion of y and a function of t. It may or may not be possible to solve this to
get y explicitly as a function of t. For an initial value problem, substitute the
values of t and y by t
0
and y
0
to get the value of C.
Remark 4.2
If F is a dierentiable function of y and y is a dierentiable function of t and
both F and y are given then the chain rule allows us to nd
dF
dt
given by
dF
dt
=
dF
dy
dy
dt
For separable equations, we are given f(y)y
=
dF
dt
and we are asked to nd
F(y). This process is referred to as reversing the chain rule.
4 THE METHOD OF SEPARATION OF VARIABLES FOR ODES 29
Example 4.1
Solve the initial value problem y
= 6ty
2
, y(1) =
1
25
.
Solution.
Separating the variables and integrating both sides we obtain
_
y
y
2
dt =
_
6tdt
or
_
d
dt
_
1
y
_
dt =
_
6tdt
Thus,
1
y(t)
= 3t
2
+ C
Since y(1) =
1
25
, we nd C = 28. The unique solution to the IVP is then
given explicitly by
y(t) =
1
28 3t
2
Example 4.2
Solve the IVP yy
4 cos t + 5
Since y(0) = 1, we have y(t) =
= te
t
2
ln y
2
.
Exercise 4.2
Solve the (separable) dierential equation
y
=
t
2
y 4y
t + 2
.
Exercise 4.3
Solve the (separable) dierential equation
ty
= 2(y 4).
Exercise 4.4
Solve the (separable) dierential equation
y
= 2y(2 y).
Exercise 4.5
Solve the IVP
y
=
4 sin (2t)
y
, y(0) = 1.
Exercise 4.6
Solve the IVP:
yy
= sin t, y(
2
) = 2.
Exercise 4.7
Solve the IVP:
y
+
1
y + 1
= 0, y(1) = 0.
Exercise 4.8
Solve the IVP:
y
ty
3
= 0, y(0) = 2.
4 THE METHOD OF SEPARATION OF VARIABLES FOR ODES 31
Exercise 4.9
Solve the IVP:
y
= 1 + y
2
, y(
4
) = 1.
Exercise 4.10
Solve the IVP:
y
= t ty
2
, y(0) =
1
2
.
32 REVIEW OF SOME ODES RESULTS
Sample Exam Questions
Exercise 4.11
For what values of the constants , y
0
, and integer n is the function y(t) =
(4 + t)
1
2
a solution of the initial value problem?
y
+ y
n
= 0, y(0) = y
0
.
Exercise 4.12
Solve the equation 3u
y
+ u
xy
= 0 by using the substitution v = u
y
.
Exercise 4.13
Solve the IVP
(2y sin y)y
= sin t t, y(0) = 0.
Exercise 4.14
State an initial value problem, with initial condition imposed at t
0
= 2,
having implicit solution y
3
+ t
2
+ sin y = 4.
Exercise 4.15
Can the dierential equation
dy
dx
= x
2
xy
be solved by the method of separation of variables? Explain.
5 SECOND ORDER LINEAR ODES 33
5 Second Order Linear ODEs
When solving second order partial dierential equations such as the heat,
wave, and Laplaces equations using the method of separation of variables
for PDEs one ends up confronting second order linear ODEs. Thus, it is
deemed necessary to review some of the techniques usided in solving second
order linear ordinary dierential equations which we do in this section.
We start rst by considering the second order linear ODE with constant
coecients given by
ay
+ by
+ cy = 0 (5.1)
where a, b and c are constants with a = 0.
Notice rst that for b = 0 and c = 0 the function y
is a constant multiple
of y. So it makes sense to look for a function with such property. One such
function is y(t) = e
rt
. Substituting this function into (5.1) leads to
ay
+ by
+ cy = ar
2
e
rt
+ bre
rt
+ ce
rt
= (ar
2
+ br + c)e
rt
= 0
Since e
rt
> 0 for all t, the previous equation leads to
ar
2
+ br + c = 0 (5.2)
Thus, a function y(t) = e
rt
is a solution to (5.1) when r satises equation
(5.2). We call (5.2) the characteristic equation for (5.1) and the polyno
mial C(r) = ar
2
+ br + c is called the characteristic polynomial.
The characteristic equation is a quadratic equation. Thus, this equation can
have two distinct real solutions, two equal solutions, or two conjugate com
plex solutions depending on the sign of the discriminant b
2
4ac. Hence, we
consider the following three cases:
Case 1: b
2
4ac > 0.
In this case, equation (5.2) have two distinct real roots r
1
=
b
b
2
4ac
4a
and
r
2
=
b+
b
2
4ac
4a
. The general solution to (5.1) is given by
y(t) = c
1
e
r
1
t
+ c
2
e
r
2
t
where c
1
and c
2
are arbitrary constants.
Example 5.1
Solve the initial value problem
y
6y = 0, y(0) = 1, y
(0) = 2.
Describe the behavior of the solution y(t) as t and t .
34 REVIEW OF SOME ODES RESULTS
Solution.
The characteristic polynomial is C(r) = r
2
r6 = (r3)(r+2) so that the
characteristic equation r
2
r 6 = 0 has the solutions r
1
= 3 and r
2
= 2.
The general solution is then given by
y(t) = c
1
e
3t
+ c
2
e
2t
.
Taking the derivative to obtain
y
(t) = 3c
1
e
3t
2c
2
e
2t
.
The conditions y(0) = 1 and y
b
2a
t
+ c
2
te
b
2a
t
where c
1
and c
2
are arbitrary constants.
Example 5.2
Solve the initial value problem: y
+ 2y
+ y = 0, y(0) = 1, y
1
(0) = 1.
Solution.
The characteristic equation r
2
+2r+1 = 0 has a repeated root: r
1
= r
2
= 1.
Thus, the general solution is given by
y(t) = c
1
e
t
+ c
2
te
t
.
5 SECOND ORDER LINEAR ODES 35
The two conditions y(0) = 1 and y
(0) = 1 lead to c
2
= 1 and c
1
= 0.
Hence, the unique solution is y(t) = e
t
Case 3: b
2
4ac < 0.
In this case, the complex roots of equation (5.1) are given by
r
1,2
=
b i
4ac b
2
2a
where i =
4acb
2
2a
, and c
1
and c
2
are real numbers.
Example 5.3
Solve the initial value problem
y
10y
+ 29y = 0, y(0) = 1, y
(0) = 3.
Solution.
The characteristic equation r
2
10r + 29 = 0 has the complex roots r
1,2
=
5 2i. Thus, the general solution is given by the expression
y(t) = e
5t
(c
1
cos 2t + c
2
sin 2t).
Finding y
we obtain
y
(t) = e
5t
[(5c
1
+ 2c
2
) cos 2t + (5c
2
2c
1
) sin 2t].
The initial conditions yield c
1
= 1 and c
2
= 1. Thus, the unique solution
to the initial value problem is
y(t) = e
5t
(cos 2t sin 2t)
The Eigenvalue Problem
Consider the question of nding a twice dierentaible function u satisfying
the ordinary dierential equation
d
2
u
dx
2
= u, a < x < b.
36 REVIEW OF SOME ODES RESULTS
subject to the boundary conditions u(a) = u(b) = 0. This problem is referred
to as the eigenvalue problem for the following reason: Dene the function
L
d
2
dx
2
. Then the given equation can be written as Lu = u. In linear
algebra, is called an eigenvalue of L with corresponding eigenvector u.
Dierent solutions to the eigenvalue problem are obtained depending on the
sign of . Suppose rst that = 0. Then u(x) = ax+b for arbitrary constants
a and b. Using the boundary conditions we nd a = b = 0. Hence, u 0.
Suppose that > 0. Then u(x) = Ae
x
+ Be
x
. Again, the boundary
conditions imply that u 0.
Now, suppose that < 0. Then u(x) = Acos
x + Bsin
x. Using
the condition u(0) = 0 to obtain A = 0. Using the condition u(1) = 0
and assuming we are looking for nontrivial solution u we expect to have
sin
n=1
A
n
u
n
(x)
where the convergence is pointwise convergence (See Section 2).
Euler Equations
A second order linear dierential equations of the form
ax
2
y
+ bxy
+ cy = 0
where a, b, c are constants is called an Euler equation.
To solve Euler equation, one starts with solutions of the form y = x
r
(with
x > 0) where r is to be determined. Plugging this into the dierential
equation to get
ax
2
r(r 1)x
r2
+ bxrx
r1
+ cx
r
=0
(ar
2
ar + br + c)x
r
=0
ar
2
(a b)r + c =0
This last equation is a quadratic equation in r and so we will have three cases
to look at : Real distinct roots, double roots, and complex conjugate roots.
5 SECOND ORDER LINEAR ODES 37
If the quadratic equation has two distinct real roots r
1
and r
2
then the general
solution is given by
y(x) = Ax
r
1
+ Bx
r
2
.
If the quadratic equation has two equal roots r
1
= r
2
= r then the general
solution is given by
y(x) = x
r
(A + Bln x).
If the quadratic equation has two complex conjugate solutions r
1,2
= i
then the general solution is given by
y(x) = x
+ 3xy
15y = 0
y(1) = 0, y
(1) = 1.
Solution.
Letting y = x
r
we obtain the quadratic equation 2r
2
+ r 15 = 0 whose
roots are r
1
=
5
2
and r
2
= 3. Hence, the general solution is given by
y(x) = Ax
5
2
+ Bx
3
.
The condition y(1) = 0 implies A + B = 0. The condition y
(1) = 1 implies
5
2
A 3B = 1. Solving this system of two unknowns we nd A =
2
11
and
B =
2
11
. Hence, the unique solution is given by
y =
2
11
x
5
2
2
11
x
3
Second Order Linear Inhomogeneous ODE: The Method of Unde
termined Coecients
We consider the nonhomogeneous second order
ay
+ by
+ by
+ 4y = t
2
e
3t
.
(b) y
+ 4y = te
2t
cos t.
(c) y
+ 4y = 2t
2
+ 5 sin 2t + e
3t
.
(d) y
+ 4y = t
2
cos 2t.
5 SECOND ORDER LINEAR ODES 39
Solution.
The general solution to the homogeneous equation is y
h
(t) = c
1
cos t+c
2
sin t.
(a) For g(t) = t
2
e
3t
, an appropriate particular solution has the form y
p
(t) =
t
r
(A
2
t
2
+A
1
t +A
0
)e
3t
. We take r = 0 since no term in the assumed form for
y
p
is present in the expression of y
h
(t). Thus
y
p
(t) = (A
2
t
2
+ A
1
t + A
0
)e
3t
(b) An appropriate form is
y
p
(t) = t
r
[(A
1
t + A
0
)e
2t
cos t + (B
1
t + B
0
)e
2t
sin t]
We take r = 0 since no term in the assumed form for y
p
is present in the
expression of y
h
(t). Thus
y
p
(t) = (A
1
t + A
0
)e
2t
cos t + (B
1
t + B
0
)e
2t
sin t
(c)
y
p
(t) = A
2
t
2
+ A
1
t + A
0
+ B
0
t cos 2t + C
0
t sin 2t + D
0
e
3t
(d)
y
p
(t) = t(A
2
t
2
+ A
1
t + A
0
) cos 2t + t(B
2
t
2
+ B
1
t + B
0
) cos 2t
Example 5.6
Find the general solution of
y
2y
3y = 4t 5 + 6te
2t
Solution.
The characteristic equation of the homogeneous equation is r
2
2r 3 = 0
with roots r
1
= 1 and r
2
= 3. Thus,
y
h
(t) = c
1
e
t
+ c
2
te
3t
A guess for the particular solution is y
p
(t) = At +B+Cte
2t
+De
2t
. Inserting
this into the dierential equation leads to
3At 2A 3B 3Cte
2t
+ (2C D)e
2t
= 4t 5 + 6te
2t
From this identity we obtain 3A = 4 so that A =
4
3
. Also, 2A3B = 5
so that B =
23
9
. Since 3C = 6 we nd C = 2. From 2C 3D = 0 we nd
D =
4
3
. It follows that
y(t) = c
1
e
t
+ c
2
te
3t
4
3
t +
23
9
_
2t +
4
3
_
e
2t
40 REVIEW OF SOME ODES RESULTS
Practice Problems
Exercise 5.1
Solve the initial value problem
y
4y
+ 3y = 0, y(0) = 1, y
(0) = 1
Describe the behavior of the solution y(t) as t and t .
Exercise 5.2
Solve the initial value exercise
y
+ 4y
+ 2y = 0, y(0) = 0, y
(0) = 4
Describe the behavior of the solution y(t) as t and t .
Exercise 5.3
Solve the initial value problem
2y
y = 0, y(0) = 2, y
(0) =
2
Describe the behavior of the solution y(t) as t and t .
Exercise 5.4
Find a homogeneous secondorder linear ordinary dierential equation whose
general solution is y(t) = c
1
e
2t
+ c
2
e
t
.
Exercise 5.5
Solve the IVP
9y
6y
+ y = 0, y(3) = 2, y
(3) =
5
3
Exercise 5.6
Solve the IVP
25y
+ 20y
+ 4y = 0, y(5) = 4e
2
, y
(5) =
3
5
e
2
Exercise 5.7
The graph of a solution y(t) of the dierential equation 4y
+ 4y
+ y = 0
passes through the points (1, e
1
2
) and (2, 0). Determine y(0) and y
(0).
5 SECOND ORDER LINEAR ODES 41
Exercise 5.8
Find the general solution of y
6y
+ 9y = 0.
Exercise 5.9
Solve the IVP
y
+ 2y
+ 2y = 0, y(0) = 3, y
(0) = 1
Exercise 5.10
Solve the IVP
2y
2y
+ y = 0, y() = 1, y
() = 1
Exercise 5.11
Find the general solution of
y
+ y = 2 sin 3t
Exercise 5.12
Find the general solution of
y
+ 4y
2y = 2t
2
3t + 6
42 REVIEW OF SOME ODES RESULTS
Sample Exam Questions
Exercise 5.13
Find the general solution to the following dierential equation.
x
2
y
7xy
+ 16y = 0.
Exercise 5.14
Find the general solution to the following dierential equation.
x
2
y
+ 3xy
+ 4y = 0.
Exercise 5.15
Consider the dierential equation
d
2
y
dx
2
+ y = 0.
Determine the eigenvalues and the corresponding eigenfunctions if y satis
es the following boundary conditions:
(a) y(0) = y() = 0
(b) y(0) = y
(L) = 0
(c) y
(0) = y(1) = 0.
Exercise 5.16
Show by direct computation that the eigenvalue problems
(ky
(x))
+ y(x) = 0
with the following boundary conditions have no negative eigenvalues :
(a) y(0) = y(L) = 0
(b) y
(0) = y
(L) = 0
(c) y(L) = y(L), y
(L) = y
+ 5y
3y = 0, y(0) = 2, y
(0) = 1.
Exercise 5.18
Find the general solution of
y
= 5e
t
sin 2t
Exercise 5.19
Solve using undetermined coecients:
y
+ y
(0) = 0
Introduction to PDEs
Many elds in engineering and the physical sciences require the study of ODE
and PDE. Examples of those elds are acoustics, aerodynamics, elasticity,
electrodynamics, uid dynamics, geophysics (seismic wave propagation), heat
transfer, meteorology, oceanography, optics, petroleum engineering, plasma
physics (ionized liquids and gases), quantum mechanics.
So the study of partial dierential equation is of great importance to the
above mentioned elds. The purpose of this chapter is to introduce the
reader to the basic terms of partial dierential equations.
6 The Basic Concepts
The goal of this section is to introduce the reader to the basic concepts and
notations that will be used in the remainder of this book.
A dierential equation is an equation that involves an unknown scalar
function (the dependent variable) and one or more of its derivatives. For
example,
d
2
y
dx
2
5
dy
dx
+ 3y = 3 (6.1)
or
u
t
2
u
x
2
2
u
y
2
+ u = 0. (6.2)
If the unknown function is a function in one single variable then the dier
ential equation is called an ordinary dierential equation. An example
of an ordinary dierential equation is Equation (6.1). In contrast, when the
unknown function is a function of two or more independent variables then
the dierential equation is called a partial dierential equation, in short
PDE. Equation (6.2) is an example of a partial dierential equation. In this
book we will be focusing on partial dierential equations.
43
44 INTRODUCTION TO PDES
Example 6.1
Identify which variables are dependent variable or independent variable(s)
for the following dierential equations.
(a)
d
4
y
dx
4
x
2
+ y = 0
(b) u
tt
+ xu
tx
= 0.
(c) x
dx
dt
= 4.
(d)
y
u
4
y
v
= u + 3y.
Solution.
(a) Independent variable is x and the dependent variable is y.
(b) Independent variables are x and t and the dependent variable is u.
(c) Independent variable is t and the dependent variable is x.
(d) Independent variable are u and v and the dependent variable is y
Example 6.2
Classify the following as either ODE or PDE.
(a) u
t
= c
2
u
xx
.
(b) y
4y
+ 5y = 0.
(c) u
t
+ cu
x
= 5.
Solution.
(a) PDE (b) ODE (c) PDE
The order of a partial dierential equation is the highest order derivative
occurring in the equation. Thus, (6.2) is a second order partial dierential
equation.
Example 6.3
Find the order of each of the following partial dierential equations:
(a) xu
x
+ yu
y
= x
2
+ y
2
(b) uu
x
+ u
y
= 2
(c) u
tt
c
2
u
xx
= f(x, t)
(d) u
t
+ uu
x
+ u
xxx
= 0
(e) u
tt
+ u
xxxx
= 0.
Solution.
(a) First order (b) First order (c) Second order (d) Third order (e) Fourth
order
6 THE BASIC CONCEPTS 45
A partial dierential equation is called linear if it is linear in the unknown
function and all its derivatives with coecients depend only on the indepen
dent variables. For example, a rst order linear partial dierential equation
has the form
A(x, y)u
x
+ B(x, y)u
y
+ C(x, y)u = D(x, y)
whereas a second order linear partial dierential equation has the form
A(x, y)u
xx
+B(x, y)u
xy
+C(x, y)u
yy
+D(x, y)u
x
+E(x, y)u
y
+F(x, y)u = G(x, y).
A partial dierential equation is called quasilinear if it is linear in the
highestorder derivatives which appear in the equation (regardless of the
manner in which lowerorder derivatives and unknown functions occur in the
equation). For example, a rst order quasilinear partial dierential equation
has the form
A(x, y, u)u
x
+ B(x, y, u)u
y
= C(x, y, u)
whereas a second order quasilinear partial dierential equation has the form
A(x, y, u, u
x
, u
y
)u
xx
+B(x, y, u, u
x
, u
y
)u
xy
+C(x, y, u, u
x
, u
y
)u
yy
= D(x, y, u, u
x
, u
y
).
A partial dierential equation is semilinear if it is quasilinear and the
coecients of the highestorder derivatives are functions of independent vari
ables only. For example, a rst order semilinear partial dierential equation
has the form
A(x, y)u
x
+ B(x, y)u
y
= C(x, y, u)
whereas a second order semilinear partial dierential equation has the form
A(x, y)u
xx
+ B(x, y)u
xy
+ C(x, y)u
yy
= D(x, y, u, u
x
, u
y
).
Note that linear and semilinear partial dierential equations are special cases
of quasilinear equations.
A partial dierential equation that is not linear is called nonlinear. For
example, u
2
x
+ 2u
xy
= 0.
As for ODEs, linear PDEs are usually simpler to analyze/solve than nonlinear
PDEs.
46 INTRODUCTION TO PDES
Example 6.4
Determine whether the given PDE is linear, quasilinear, semilinear, or non
linear:
(a) xu
x
+ yu
y
= x
2
+ y
2
(b) uu
x
+ u
y
= 2
(c) u
tt
c
2
u
xx
= f(x, t)
(d) u
t
+ uu
x
+ u
xxx
= 0
(e) u
2
tt
+ u
xxxx
= 0.
Solution.
(a) Linear, quasilinear, semilinear.
(b) Quasilinear, nonlinear.
(c) Linear, quasilinear, semilinear.
(d) Quasilinear, semilinear, nonlinear.
(e) Quasilinear, semilinear, nonlinear
A more precise denition of a linear dierential equation begins with the
concept of a linear dierential operator L. The operator L is assembled
by summing the basic partial derivative operators, with coecients depend
ing on the independent variables. The operator acts on suciently smooth
functions depending on the relevant independent variables. Linearity im
poses two key requirements:
L[u + v] = L[u] + L[v] and L[u] = L[u],
for any two (suciently smooth) functions u, v and any constant .
Example 6.5
Dene a linear dierential operator for the PDE
u
t
= c
2
u
xx
.
Solution.
Let L[u] = u
t
c
2
u
xx
. Then one can easily check that L[u +v] = L[u] +L[v]
and L[u] = L[u]
A linear partial dierential equation is called homogeneous if every term
of the equation involves the unknown function or its partial derivatives. A
linear partial dierential equation that is not homogeneous is called nonho
mogeneous. In this case, there is a term in the equation that involves only
6 THE BASIC CONCEPTS 47
the independent variables.
A homogeneous linear partial dierential equation has the form
L[u] = 0
where L is a linear dierential operator.
Example 6.6
Determine whether the equation is homogeneous or nonhomogeneous:
(a) xu
x
+ yu
y
= x
2
+ y
2
.
(b) u
tt
= c
2
u
xx
.
(c) u
xx
+ u
yy
= 0.
Solution.
(a) Nonhomogeneous because of x
2
+ y
2
.
(b) Homogeneous.
(c) Homogeneous
Finally, we shall be employing a few basic notational conventions regard
ing the variables that appear in our dierential equations. We always use
t to denote time, while x, y, z will represent (Cartesian) space coordinates.
Polar coordinates r, will also be used when needed, and our notational con
ventions appear at the appropriate places in the exposition.
An equilibrium equation models an unchanging physical system, and so
only involves the space variables. The time variable t appears when mod
eling dynamical , meaning timevarying, processes. Both time and space
coordinates are independent variables.
48 INTRODUCTION TO PDES
Practice Problems
Exercise 6.1
Classify the following equations as either ODE or PDE.
(a) (y
)
4
+
t
2
(y
)
2
+4
= 0
(b)
u
x
+ y
u
y
=
yx
y+x
(c) y
4y = 0
Exercise 6.2
Write the equation
u
xx
+ 2u
xy
+ u
yy
= 0
in the coordinates s = x, t = x y.
Exercise 6.3
Write the equation
u
xx
2u
xy
+ 5u
yy
= 0
in the coordinates s = x + y, t = 2x.
Exercise 6.4
For each of the following PDEs, state its order and whether it is linear or
nonlinear. If it is linear, also state whether it is homogeneous or inhomoge
neous:
(a) uu
x
+ x
2
u
yyy
+ sin x = 0
(b) u
x
+ e
x
2
u
y
= 0
(c) u
tt
+ (sin y)u
yy
e
t
cos y = 0.
Exercise 6.5
For each of the following PDEs, determine its order and whether it is linear
or not. For linear PDEs, state also whether the equation is homogeneous or
not. For nonlinear PDEs, circle all term(s) that are not linear.
(a) x
2
u
xx
+ e
x
u = xu
xyy
(b) e
y
u
xxx
+ e
x
u = sin y + 10xu
y
(c) y
2
u
xx
+ e
x
uu
x
= 2xu
y
+ u
(d) u
x
u
xxy
+ e
x
uu
y
= 5x
2
u
x
(e) u
t
= k
2
(u
xx
+ u
yy
) + f(x, y, t).
6 THE BASIC CONCEPTS 49
Exercise 6.6
Which of the following PDEs are linear?
(a) Laplaces equation: u
xx
+ u
yy
= 0.
(b) Convection (transport) equation: u
t
+ cu
x
= 0.
(c) Minimal surface equation: (1+Z
2
y
)Z
xx
2Z
x
Z
y
Z
xy
+(1+Z
2
x
)Z
yy
= 0.
(d) KortewegVries equation: u
t
+ 6uu
x
= u
xxx
.
Exercise 6.7
Classify the following dierential equations as ODEs or PDEs, linear or
nonlinear, and determine their order. For the linear equations, determine
whether or not they are homogeneous.
(a) The diusion equation for u(x, t) :
u
t
= ku
xx
.
(b) The wave equation for w(x, t) :
w
tt
= c
2
w
xx
.
(c) The thin lm equation for h(x, t) :
h
t
= (hh
xxx
)
x
.
(d) The forced harmonic oscillator for y(t) :
y
tt
+
2
y = F cos (t).
(e) The Poisson Equation for the electric potential (x, y, z) :
xx
+
yy
+
zz
= 4(x, y, z).
where (x, y, z) is a known charge density.
(f) Burgers equation for h(x, t) :
h
t
+ hh
x
= h
xx
.
Exercise 6.8
Write down the general form of a linear rst order dierential equation of a
function in three variables.
50 INTRODUCTION TO PDES
Exercise 6.9
Give the orders of the following PDEs, and classify them as linear or non
linear. If the PDE is linear, specify whether it is homogeneous or inhomoge
neous.
(a) x
2
u
xxy
+ y
2
u
yy
log (1 + y
2
)u = 0
(b) u
x
+ u
3
= 1
(c) u
xxyy
+ e
x
u
x
= y
(d) uu
xx
+ u
yy
u = 0
(e) u
xx
+ u
t
= 3u.
Exercise 6.10
Consider the secondorder PDE
u
xx
+ 4u
xy
+ 4u
yy
= 0.
Use the change of variables v(x, y) = y 2x and w(x, y) = x to show that
u
ww
= 0.
6 THE BASIC CONCEPTS 51
Sample Exam Questions
Exercise 6.11
Write the one dimensional wave equation u
tt
= c
2
u
xx
in the coordinates
v = x + ct and w = x ct.
Exercise 6.12
Write the PDE
u
xx
+ 2u
xy
3u
yy
= 0
in the coordinates v(x, y) = y 3x and w(x, y) = x + y.
Exercise 6.13
Write the PDE
au
x
+ bu
y
= 0
in the coordinates s(x, y) = ax+by and t(x, y) = bxay. Assume a
2
+b
2
> 0.
Exercise 6.14
Write the PDE
u
x
+ u
y
= 1
in the coordinates s = x + y and t = x y.
Exercise 6.15
Write the PDE
au
t
+ bu
x
= u, a, b = 0
in the coordinates v = ax bt and w =
1
a
t.
52 INTRODUCTION TO PDES
7 Solutions and Related Topics
By a classical solution or strong solution to a partial dierential equation
we mean a function that satises the equation. To solve a PDE is to nd all
its classical solutions. In the case of only two independent variables x and y,
a solution u(x, y) is visualized geometrically as a surface, called a solution
surface or an integral surface in the (x, y, u) space.
A formula that expresses all the solutions of a PDE is called the general
solution of the equation.
Example 7.1
Show that u(x, t) = e
2
t
(cos x sin x) is a solution to the equation
u
t
2
u
xx
= 0.
Solution.
Since
u
t
2
u
xx
=
2
2
e
2
t
(cos x sin x)
2
(
2
cos x +
2
sin x) = 0
the given function is a solution to the given equation
Example 7.2
Find the general solution of u
xy
= 0.
Solution.
Integrating rst we respect to y we nd u
x
(x, y) = f(x), where f is an
arbitrary dierentiable function. Integrating u
x
with respect to x we nd
u(x, y) = f(x) + g(y), where g is an arbitrary dierentiable function
Note that the general solution in the previous example involves two arbitrary
functions. In general, the general solution of a partial dierential equation
is an expression that involves arbitrary functions. This is in contrast to the
general solution of an ordinary dierential equation which involves arbitrary
constants.
Usually, a classical solution enjoys properties such as smootheness (i.e. dif
ferentiability) and continuity. However, in the theory of nonlinear pdes, there
are solutions that do not require the smoothness property. Such solutions are
called weak solutions or generalized solutions. We illustrate this con
cept using equations rather than pdes. Consider the equation x
2
y
2
= 0.
7 SOLUTIONS AND RELATED TOPICS 53
The function y = x is a classical solution of this equation. This solution is
innitely dierentiable function. On the other hand, the function y = x is
also a solution to the given equation. However, this solution is not dieren
tiable at 0. We call such a solution a weak solution. In this book, the word
solution will refer to a classical solution.
Example 7.3
Show that u(x, t) = t +
1
2
x
2
is a classical solution to the PDE
u
t
= u
xx
. (7.1)
Solution.
Assume that the domain of denition of u is D R
2
. Since u, u
t
, u
x
, u
tx
, u
xx
exist and are continuous in D(i.e., u is smooth in D) and u satises equation
(7.1), we conclude that u is a classical solution to the given PDE
Now, consider the linear dierential operator L as dened in the previous
section. The dening properties of linearity immediately imply the key facts
concerning homogeneous linear (dierential) equations.
Theorem 7.1
The sum of two solutions to a homogeneous linear dierential equation is
again a solution, as is the product of a solution by any constant.
Proof.
Let u
1
, u
2
be solutions, meaning that L[u
1
] = 0 and L[u
2
] = 0. Then, thanks
to linearity,
L[u
1
+ u
2
] = L[u
1
] + L[u
2
] = 0,
and hence their sum u
1
+u
2
is a solution. Similarly, if is any constant, and
u any solution, then
L[u] = L[u] = 0 = 0,
and so the scalar multiple u is also a solution
The following result is known as the superposition principle for homo
geneous linear equations.
Theorem 7.2
If u
1
, , u
n
are solutions to a common homogeneous linear partial dieren
tial equation L[u] = 0, then the linear combination u = c
1
u
1
+ + c
n
u
n
is
a solution for any choice of constants c
1
, , c
n
.
54 INTRODUCTION TO PDES
Proof.
The key fact is that, thanks to the linearity of L, for any suciently smooth
functions u
1
, , u
n
and any constants c
1
, , c
n
,
L[u] =L[c
1
u
1
+ + c
n
u
n
] = L[c
1
u
1
+ + c
n1
u
n1
] + L[c
n
u
n
]
= = L[c
1
u
1
] + + L[c
n
u
n
] = c
1
L[u
1
] + + c
n
L[u
n
].
In particular, if the functions are solutions, so L[u
1
] = 0, , L[u
n
] = 0, then
the right hand side of the above equation vanishes, proving that u is also a
solution to the homogeneous equation L[u] = 0
In physical applications, homogeneous linear equations model unforced sys
tems that are subject to their own internal constraints. External forcing
is represented by an additional term that does not involve the dependent
variable. This results in the nonhomogeneous equation
L[u] = f
where L is a linear partial dierential operator, u is the dependent variable,
and f is a given nonzero function of the independent variables alone.
You already learned the basic philosophy for solving of inhomogeneous linear
equations in your study of elementary ordinary dierential equations. Step
one is to determine the general solution to the homogeneous equation. Step
two is to nd a particular solution to the inhomogeneous version. The general
solution to the inhomogeneous equation is then obtained by adding the two
together. Here is the general version of this procedure:
Theorem 7.3
Let v
i
be a particular solution to the inhomogeneous linear equation L[u
i
] =
f. Then the general solution to L[u] = f is given by u = u
i
+u
h
, where u
h
is
an arbitrary solution to the corresponding homogeneous equation L[u
h
] = 0.
Proof.
Let us rst show that u = u
i
+ u
h
is also a solution whenever L[u] = 0. By
linearity,
L[u] = L[u
i
+ u
h
] = L[u
i
] + L[u
h
] = f + 0 = f.
To show that every solution to the inhomogeneous equation can be expressed
in this manner, suppose u satises L[u] = f. Set u
h
= u u
i
. Then, by
linearity,
L[u
h
] = L[u u
i
] = L[u] L[u
i
] = 0,
7 SOLUTIONS AND RELATED TOPICS 55
and hence u
h
is a solution to the homogeneous dierential equation. Thus,
u = u
i
+ u
h
has the required form
In physical applications, one can interpret the particular solution u
i
as a
response of the system to the external forcing function, while the solution
u
h
to the homogeneous equation represents the systems internal, unforced
motion. The general solution to a linear inhomogeneous equation is thus a
combination of the external and internal responses.
As you have noticed by now, one solution of a linear PDE leads to the cre
ation of lots of solutions. In contrast, nonlinear equations are much tougher
to deal with, for example, knowledge of several solutions is of scant help
constructing others. Indeed, even nding one solution to a nonlinear partial
dierential equation can be quite a challenge.
In this introductory course, we will primarily but not exclusively con
centrate on analyzing the most basic linear partial dierential equations. But
we will have occasion to briey foray into the nonlinear realm, to appreciate
some recent developments in this fascinating area of contemporary research
and applications.
As observed above, a general solution of a partial dierential equation has
innitely many solutions. In almost all cases, this general solution is of little
use since it has to satisfy other supplementary conditions, usually called ini
tial or boundary conditions. These conditions determine the unique solution
of interest.
A boundary value problem is a partial dierential equation where either
the unknown function or its derivatives have values assigned on the physical
boundary of the domain in which the problem is specied. These conditions
are called boundary conditions. For example,
u
xx
+ u
yy
=0 if 0 < x, y < 1
u(x, 0) = u(x, 1) =0 if 0 < x < 1
u
x
(0, y) = u
x
(1, y) =0 if 0 < y < 1.
There are three types of boundary conditions which arise frequently in for
mulating physical problems:
1. Dirichlet Boundary Conditions: In this case, the dependent function
u is prescribed on the boundary of the bounded domain. For example, if the
bounded domain is the rectangular plate 0 < x < L
1
and 0 < y < L
2
, the
56 INTRODUCTION TO PDES
boundary conditions u(0, y), u(L
1
, y), u(x, 0), and u(x, L
2
) are prescribed.
The boundary conditions are called homogeneous if the dependent variable
is zero at any point on the boundary, otherwise the boundary conditions are
called nonhomogeneous.
2. Neumann Boundary Conditions: In this case, rst partial derivatives
are prescribed on the boundary of the bounded domain. For example, the
Neuman boundary conditions for a rod of length L, where 0 < x < L, are of
the form u
x
(0, t) = and u
x
(L, t) = , where and are constants.
3. Robin or mixed Boundary Conditions: This occurs when the depen
dent variable and its rst partial derivatives are prescribed on the boundary
of the bounded domain.
An initial value problem (or Cauchy problem) is a partial dierential
equation together with a set of additional conditions on the unknwon func
tion or its derivatives at a point in the given domain of the solution. These
conditions are called initial value conditions. For example, the transport
equation
u
t
(x, t) + cu
x
(x, t) =0
u(x, 0) =f(x).
It can be shown that initial conditions for a pde are necessary and sucient
for the existence of a unique solution.
We say that an initial and/or boundary value problem associated with a PDE
is wellposed if it has a solution which is unique and depends continuously
on the data given in the problem. The last condition, namely the continuous
dependence is important in physical problems. This condition means that
the solution changes by a small amount when the conditions change a little.
Such solutions are said to be stable.
Example 7.4
For x R and t > 0 we consider the initial value problem
u
tt
u
xx
=0
u(x, 0) = u
t
(x, 0) =0
Clearly, u(x, t) = 0 is a solution to this problem.
(a) Let 0 < << 1 be a very small number. Show that the function u
(x, t) =
7 SOLUTIONS AND RELATED TOPICS 57
2
sin
_
x
_
sin
_
t
_
is a solution to the problem
u
tt
u
xx
=0
u(x, 0) =0
u
t
(x, 0) = sin
_
x
_
(b) Show that for a xed t > 0, sup{u
t
= sin
_
x
_
cos
_
t
2
u
t
2
=sin
_
x
_
sin
_
t
_
u
x
= cos
_
x
_
sin
_
t
2
u
x
2
=sin
_
x
_
sin
_
t
_
Thus,
2
u
t
2
2
u
x
2
= 0. Moreover, u
(x, 0) = 0 and
t
u
(x, 0) = sin
_
x
_
.
(b) We have
sup{u
sin
_
x
_
sin
_
t
: x R, t > 0}
=
2
A problem that is not wellposed is referred to as an illposed problem. We
illustrate this concept in the next example.
Example 7.5
For x R and t > 0 we consider the initial value problem
u
tt
+ u
xx
=0
u(x, 0) = u
t
(x, 0) =0
58 INTRODUCTION TO PDES
Clearly, u(x, t) = 0 is a solution to this problem.
(a) Let 0 < << 1 be a very small number. Show that the function u
(x, t) =
2
sin
_
x
_
sinh
_
t
_
, where
sinh x =
e
x
e
x
2
is a solution to the problem
u
tt
+ u
xx
=0
u(x, 0) =0
u
t
(x, 0) = sin
_
x
_
(b) Show that sup{
t
u
(x, 0) u
t
(x, 0) : x R} = and sup{u
(x, t)
u(x, t) : x R} =
2
sinh
_
t
.
(c) Find lim
t
sup{u
t
= sin
_
x
_
cosh
_
t
2
u
t
2
=sin
_
x
_
sinh
_
t
_
u
x
= cos
_
x
_
sinh
_
t
2
u
x
2
=sin
_
x
_
sinh
_
t
_
Thus,
2
u
t
2
+
2
u
x
2
= 0. Moreover, u
(x, 0) = 0 and
t
u
(x, 0) = sin
_
x
_
.
(b) We have
sup{
t
u
(x, 0) u
t
(x, 0) : x R} =sup{
sin
_
x
: x R}
= sup{
sin
_
x
: x R} =
and
sup{u
sinh
_
t
_
sin
_
x
: x R}
=
2
sinh
_
t
sinh
_
t
= .
Thus, a small change in the initial data leads to a catastrophically change in
the solution. Hence, the given problem is illposed
60 INTRODUCTION TO PDES
Practice Problems
Exercise 7.1
Determine a and b so that u(x, y) = e
ax+by
is a solution to the equation
u
xxxx
+ u
yyyy
+ 2u
xxyy
= 0.
Exercise 7.2
Consider the following dierential equation
tu
xx
u
t
= 0.
Suppose u(t, x) = X(x)T(t). Show that there is a constant such that
X
= X and T
= tT.
Exercise 7.3
Consider the initial value problem
xu
x
+ (x + 1)yu
y
= 0, x, y > 1
u(1, 1) = e.
Show that u(x, y) =
xe
x
y
is the solution to this problem.
Exercise 7.4
Show that u(x, y) = e
2y
sin (x y) is the solution to the initial value prob
lem
_
u
x
+ u
y
+ 2u = 0 for x, y > 1
u(x, 0) = sin x
Exercise 7.5
Solve each of the following dierential equations:
(a)
du
dx
= 0 where u = u(x).
(b)
u
x
= 0 where u = u(x, y).
Exercise 7.6
Solve each of the following dierential equations:
(a)
d
2
u
dx
2
= 0 where u = u(x).
(b)
2
u
xy
= 0 where u = u(x, y).
7 SOLUTIONS AND RELATED TOPICS 61
Exercise 7.7
Show that u(x, y) = f(y +2x) +xg(y +2x), where f and g are two arbitrary
twice dierentiable functions, satisfy the equation
u
xx
4u
xy
+ 4u
yy
= 0.
Exercise 7.8
Find the dierential equation whose general solution is given by u(x, t) =
f(xct)+g(x+ct), where f and g are arbitrary twice dierentiable functions
in one variable.
Exercise 7.9
Let p : R R be a dierentiable function in one variable. Prove that
u
t
= p(u)u
x
has a solution satisfying u(x, t) = f(x + p(u)t), where f is an arbitrary
dierentiable function. Then nd the general solution to u
t
= (sin u)u
x
.
Exercise 7.10
Find the general solution to the pde
u
xx
+ 2u
xy
+ u
yy
= 0.
Hint: See Exercise 6.2.
62 INTRODUCTION TO PDES
Sample Exam Questions
Exercise 7.11
Let u(x, t) be a function such that u
xx
exists and u(0, t) = u(L, t) = 0 for all
t R. Prove that
_
L
0
u
xx
(x, t)u(x, t)dx 0.
Exercise 7.12
Consider the initial value problem
u
t
+ u
xx
= 0, x R, t > 0
u(x, 0) = 1.
(a) Show that u(x, t) 1 is a solution to this problem.
(b) Show that u
n
(x, t) = 1 +
e
n
2
t
n
sin nx is a solution to the initial value
problem
u
t
+ u
xx
= 0, x R, t > 0
u(x, 0) = 1 +
sin nx
n
.
(c) Find sup{u
n
(x, 0) 1 : x R}.
(d) Find sup{u
n
(x, t) 1 : x R}.
(e) Show that the problem is illposed.
Exercise 7.13
Find the general solution of each of the following PDEs by means of direct
integration.
(a) u
x
= 3x
2
+ y
2
, u = u(x, y).
(b) u
xy
= x
2
y, u = u(x, y).
(c) u
xyz
= 0, u = u(x, y, z).
(d) u
xtt
= e
2x+3t
, u = u(x, t).
Exercise 7.14
Consider the secondorder PDE
u
xx
+ 4u
xy
+ 4u
yy
= 0.
(a) Use the change of variables v(x, y) = y 2x and w(x, y) = x to show
that u
ww
= 0.
(b) Find the general solution to the given PDE.
7 SOLUTIONS AND RELATED TOPICS 63
Exercise 7.15
Derive the general solution to the PDE
u
tt
= c
2
u
xx
by using the change of variables v = x + ct and w = x ct.
64 INTRODUCTION TO PDES
First Order Partial Dierential
Equations
Many problems in the mathematical, physical, and engineering sciences deal
with the formulation and the solution of rst order partial dierential equa
tions. Our rst task is to understand simple rst order equations. In ap
plications, rst order partial dierential equations are most commonly used
to describe dynamical processes, and so time, t, is one of the independent
variables. Most of our discussion will focus on dynamical models in a single
space dimension, bearing in mind that most of the methods can be readily
extended to higher dimensional situations. First order partial dierential
equations and systems model a wide variety of wave phenomena, including
transport of solvents in uids, ood waves, acoustics, gas dynamics, glacier
motion, trac ow, and also a variety of biological and ecological systems.
From a mathematical point of view, rst order partial dierential equations
have the advantage of providing conceptual basis that can be utilized in the
study of higher order partial dierential equations.
In this chapter we introduce the basic denitions of rst order partial dif
ferential equations. We then derive the one dimensional spatial transport
eqution and discuss some methods of solutions. One general method of solv
ability for quasilinear rst order partial dierential equation, known as the
method of characteristics, is analyzed.
8 Classication of First Order PDEs
In this section, we present the basic denitions pertained to rst order PDE.
By a rst order dierential equation in two variables x and y we mean
65
66 FIRST ORDER PARTIAL DIFFERENTIAL EQUATIONS
any equation of the form
F(x, y, u, u
x
, u
y
) = 0. (8.1)
In what follows the functions a, b, and c are assumed to be continuously
dierentiable functions. If Equation (8.1) can be written in the form
a(x, y, u)u
x
+ b(x, y, u)u
y
= c(x, y, u) (8.2)
then we say that the equation is quasilinear. The following are examples
of quasilinear equations:
uu
x
+ u
y
+ cu
2
= 0
x(y
2
+ u)u
x
y(x
2
+ u)u
y
= (x
2
y
2
)u.
If Equation (8.1) can be written in the form
a(x, y)u
x
+ b(x, y)u
y
= c(x, y, u) (8.3)
then we say that the equation is semilinear. The following are examples of
semilinear equations:
xu
x
+ yu
y
= u
2
+ x
2
(x + 1)
2
u
x
+ (y 1)
2
u
y
= (x + y)u
2
.
If Equation (8.1) can be written in the form
a(x, y)u
x
+ b(x, y)u
y
+ c(x, y)u = d(x, y) (8.4)
then we say that the equation is linear. Examples of linear equations are:
xu
x
+ yu
y
= cu
(y z)y
x
+ (z x)u
y
+ (x y)u
z
= 0.
A rst order pde that is not linear is said to be nonlinear. Examples of
nonlinear equations are:
u
x
+ cu
2
y
= xy
u
2
x
+ u
2
y
= c.
First order partial dierential equations are classied as either linear or non
linear. Clearly, linear equations are a special kind of quasilinear equation
8 CLASSIFICATION OF FIRST ORDER PDES 67
(8.2) if a and b are functions of x and y only and c is a linear function of u.
Likewise, semilinear equations are quasilinear equations if a and b are func
tions of x and y only. Also, semilinear equations (8.4) reduces to a linear
equation if c is linear in u.
A linear equation is called homogeneous if d(x, y) 0 and nonhomoge
neous if d(x, y) = 0. Examples of linear homogeneous equations are:
xu
x
+ yu
y
= cu
(y z)y
x
+ (z x)u
y
+ (x y)u
z
= 0.
Examples of nonhomogeneous equations are:
u
x
+ (x + y)u
y
u = e
x
yu
x
+ xu
y
= xy.
Recall that for an ordinary linear dierential equation, the general solution
depends mainly on arbitrary constants. Unlike ODEs, in linear partial dif
ferential equations, the general solution depends on arbitrary functions.
Example 8.1
Solve the equation u
t
(t, x) = 0.
Solution.
The general solution is given by u(t, x) = f(x) where f is an arbitrary dif
ferentiable function of x
Example 8.2
Consider the transport equation
au
t
(t, x) + bu
x
(t, x) = 0
where a and b are constants. Show that u(t, x) = f(bt ax) is a solution
to the given equation, where f is an arbitrary dierentiable function in one
variable.
Solution.
Let v(t, x) = bt ax. Using the chain rule we see that u
t
(t, x) = bf
v
(v) and
u
x
(t, x) = af
v
(v). Hence, au
t
(t, x) + bu
x
(t, x) = abf
v
(v) abf
v
(v) = 0
68 FIRST ORDER PARTIAL DIFFERENTIAL EQUATIONS
Practice Problems
Exercise 8.1
Classify each of the following PDE as linear, quasilinear, semilinear, or non
linear.
(a) xu
x
+ yu
y
= sin (xy).
(b) u
t
+ uu
x
= 0
(c) u
2
x
+ u
3
u
4
y
= 0.
(d) (x + 3)u
x
+ xy
2
u
y
= u
3
.
Exercise 8.2
Show that u(x, y) = e
x
f(2x y), where f is a dierentiable function of one
variable, is a solution to the equation
u
x
+ 2u
y
u = 0.
Exercise 8.3
Show that u(x, y) = x
(x ct) and u
x
= f
(x ct).
Hence, by substituting these results into the equation we nd
u
t
+ cu
x
= cf
(x ct) + cf
(x ct) = 0
The solution u(x, t) = f(x ct) is called the right traveling wave, since
the graph of the function f(x ct) at a given time t is the graph of f(x)
shifted to the right by the value ct. Thus, with growing time, the function
f(x) is moving without changes to the right at the speed c
An initial value condition determines a unique solution to the transport equa
tion as stated in the next theorem.
9 THE ONE DIMENSIONAL SPATIAL TRANSPORT EQUATIONS 73
Theorem 9.4
Let f be a continuously dierentiable function. Then there is a unique con
tinuously dierentiable solution u(x, t) to the IVP
au
t
(x, t) + bu
x
(x, t) = 0
u(x, 0) = f(x).
Indeed, u is given explicitly by the formula
u(x, t) = f(bt ax).
Method of Solutions: The Coordinate Method
We will solve (9.1) by solving the more general equation
au
x
+ bu
y
= 0 (9.2)
where a
2
+ b
2
> 0.
We introduce a new rectangular system by the substitution
s = ax + by, t = bx ay
According to the chain rule for the derivative of a composite function, we
have
u
x
=u
s
s
x
+ u
t
t
x
= au
s
+ bu
t
u
y
=u
s
s
y
+ u
t
t
y
= bu
s
au
t
Substituting these into (9.2) to obtain
a
2
u
s
+ abu
t
+ b
2
u
s
abu
t
= 0
or
(a
2
+ b
2
)u
s
= 0
and since a
2
+ b
2
> 0 we obtain
u
s
= 0.
Solving this equation, we nd
u(s, t) = f(w)
where f is an arbitrary dierentiable function of one variable. Now, in terms
of x and y we nd
u(x, y) = f(bx ay).
74 FIRST ORDER PARTIAL DIFFERENTIAL EQUATIONS
Example 9.2
Use the coordinate method to nd the solution to u
t
3u
x
= 0, u(x, 0) = e
x
2
.
Solution.
Let v = 3x + t and w = x + 3t. Then u
x
= 3u
v
+ u
w
and u
t
= u
v
+ 3u
w
.
Substituting these into the given equation we nd 10u
v
= 0 or u
v
= 0.
Hence, u(v, w) = f(w) or u(x, t) = f(x + 3t) where f is a dierentiable
function in one variable. Since u(x, 0) = e
x
2
, we nd e
x
2
= f(x). Hence,
u(x, t) = e
(x+3t)
2
Transport Equation with Decay: The Method of Characteristic
Coordinates
Recall from ODE that a function u is an exponential growth function if it
satises the equation
du
dt
= u.
A transport equation with growth is an equation given by
u
t
+ cu
x
+ u = f(x, t)
where and c are constants and f is a given function representing external
resources. Note that the growth is characterized by the term u.
To solve this equation, we introduce the characteristic coordinates given
by
v = x ct, w = t.
Using the chain rule, we nd
u
t
=u
v
v
t
+ u
w
w
t
= cu
v
+ u
w
u
x
=u
v
v
x
+ u
w
w
x
= u
v
Substituting these into the original equation we obtain the equation
u
w
+ u = f(v + cw, w)
which can be solved by the method of integrating factor. We illustrate this
approach in the next example.
Example 9.3
Find the general solution of the transport equation
u
t
+ u
x
u = t.
9 THE ONE DIMENSIONAL SPATIAL TRANSPORT EQUATIONS 75
Solution.
The characteristic coordinates are
v = x t, w = t.
These transform the original equation to the rst order ODE
u
w
u = w.
Using the method of integrating factor, we nd
d
dw
(e
w
u) = we
w
and solving this equation we nd
u(v, w) = (1 + w) + e
w
f(v)
and in terms of x and y we nd
u(x, t) = f(x t)e
t
(1 + t)
A more general method for solving quasilinear rst order partial dierential
equations, known as the method of characteristics, will be discussed in the
next section.
76 FIRST ORDER PARTIAL DIFFERENTIAL EQUATIONS
Practice Problems
Exercise 9.1
Use the coordinate method to nd the solution to u
t
+ 3u
x
= 0, u(x, 0) =
sin x.
Exercise 9.2
Use the coordinate method, solve the equation au
x
+ bu
y
+ cu = 0.
Exercise 9.3
Use the coordinate method, solve the equation u
x
+ 2u
y
= cos (y 2x) with
the initial condition u(0, y) = f(y), where f : R R is a given function.
Exercise 9.4
Show that the initial value problem u
t
+u
x
= x, u(x, x) = 1 has no solution.
Exercise 9.5
Solve the transport equation u
t
+2u
x
= 3u with initial condition u(x, 0) =
1
1+x
2
.
Exercise 9.6
Solve u
t
+ u
x
3u = t with initial condition u(x, 0) = x
2
.
Exercise 9.7
Show that the decay term u in the transport equation with decay
u
t
+ cu
x
+ u = 0
can be eliminated by the substitution w = ue
t
.
Exercise 9.8
Use the coordinate method to solve
u
x
+ u
y
= u
2
u(x, 0) = h(x)
9 THE ONE DIMENSIONAL SPATIAL TRANSPORT EQUATIONS 77
Exercise 9.9 (WellPosed)
Let u be the unique solution to the IVP
u
t
+ cu
x
= 0
u(x, 0) = f(x)
and v be the unique solution to the IVP
u
t
+ cu
x
= 0
u(x, 0) = g(x)
where f and g are continuously dierentiable functions.
(a) Show that w(x, t) = u(x, t) v(x, t) is the unique solution to the IVP
u
t
+ cu
x
= 0
u(x, 0) = f(x) g(x)
(b) Write an explicit formula for w in terms of f and g.
(c) Use (b) to conclude that the transport problem is wellposed. That is, a
small change in the initial data leads to a small change in the solution.
Exercise 9.10
Solve the initial boundary value problem
u
t
+ cu
x
= u, x > 0, t > 0
u(x, 0) = 0, u(0, t) = g(t), t > 0.
78 FIRST ORDER PARTIAL DIFFERENTIAL EQUATIONS
Sample Exam Questions
Exercise 9.11
Solve the rstorder equation 2u
t
+3u
x
= 0 with the initial condition u(x, 0) =
sin x.
Exercise 9.12
Solve the PDE
u
x
+ u
y
= 1
using the coordinate method.
Exercise 9.13
Consider the rst order linear homogeneous PDE
Au
x
+ Bu
y
+ Cu = 0
where A, B, and C are constants with A = 0.
(a) Determine a, b, c, d in terms of A, B, C such that ad bc = 0 and so that
the change of variables v = ax + by and w = cx + dy will reduce the give
PDE to a rst order PDE of the form u
v
+ u = 0.
(b) Use (a) to nd the general solution of the given PDE.
Exercise 9.14
Use the result of the previous section to solve the PDE
u
x
+ u
y
+ u = 0.
Exercise 9.15
Consider the rst order linear nonhomogeneous PDE
Au
x
+ Bu
y
+ Cu = G(x, y)
where A, B, and C are constants with A = 0 and G(x, y) an arbitrary func
tion. As in the case of ODEs, the general solution to this equation is the sum
of the general solution of the homogeneous equation and a particular solu
tion of the nonhomogeneous equation. A fairly general method iin nding a
particular solution is to use an integrating factor, exactly as with ODEs, by
writing the Au
v
+Cu = G(x, y) based on the formulas v = x and w = BxAy
in the form
v
(Aue
C
A
v
) = e
C
A
v
G
_
v,
1
A
(Bv w)
_
.
9 THE ONE DIMENSIONAL SPATIAL TRANSPORT EQUATIONS 79
The righthand side may be integrated with respect to v, treating w as a
constant.
Using the above idea, nd the general solution of the PDE
u
x
+ u
y
+ u = x + y.
80 FIRST ORDER PARTIAL DIFFERENTIAL EQUATIONS
10 The Method of Characteristics
In this section we develop a method for nding the general solution of a
quasilinear rst order partial dierential equation. This method is called
the method of characteristics or Lagranges method. This method of
solution can be described by the following result.
Theorem 10.1
The general solution of the quasilinear rst order PDE
a(x, y, u)u
x
+ b(x, y, u)u
y
= c(x, y, u) (10.1)
is given by
f(v, w) = 0 (10.2)
where f is an arbitrary dierentiable function of v(x, y, u) and w(x, y, u) and
v =constant= c
1
, w =constant= c
2
are solutions to the ODE system
dx
a
=
dy
b
=
du
c
. (10.3)
Equations (10.3) are called the characteristic equations in nonparametric
forms. The corresponding parametric forms are given by the system of ODEs
dx
ds
=a
dy
ds
=b
du
ds
=c
Remark 10.1
Sometimes (10.2) is written explicitly as v = g(w) or w = g(v) where g is an
arbitrary dierentiable function.
Example 10.1
Find the general solution of the pde x
2
u
x
+ y
2
u
y
= (x + y)u.
Solution.
The characteristic equations for this pde are
dx
x
2
=
dy
y
2
=
du
(x+y)u
. Using the rst
10 THE METHOD OF CHARACTERISTICS 81
two fractions, we have
_
dx
x
2
=
_
dy
y
2
and this implies
xy
xy
= c
1
. Also, we can
solve for x obtaining x =
1
1
y
c
1
and x+y =
y
1c
1
y
+y. Using the last two frac
tions we nd
dy
y
2
=
du
u(x+y
=
1
y
2
_
y
1c
1
y
+ y
_
dy =
du
u
=
_
yc
1
y
2
+
1
y
_
dy =
du
u
=
_
1c
1
y
yc
1
y
2
+
c
1
1c
1
y
+
1
y
_
dy =
du
u
=
_
_
2
y
+
c
1
1c
1
y
_
=
_
du
u
= 2 ln y
ln (1 c
1
y) = ln z + c
2
=
y
2
1c
1
y
= e
c
2
z = y
y
1c
1
y
= c
2
z = y
1
1
y
c
1
=
c
2
z =xy = c
2
z. Hence, the general solution is
f
_
x y
xy
,
xy
u
_
= 0
where f is an arbitrary dierentiable function
Example 10.2
Find the general solution of the pde yuu
x
+ xuu
y
= xy.
Solution.
The characteristic equations are
dx
yu
=
dy
xu
=
du
xy
. Using the rst two fractions
we nd x
2
y
2
= c
1
. Using the last two fractions we nd u
2
y
2
= c
2
. Hence,
the general solution is f(x
2
y
2
, u
2
y
2
) = 0 or u
2
= y
2
+g(x
2
y
2
), where
f and g are arbitrary dierentiable functions
Example 10.3
Find the general solution of the pde x(y
2
u
2
)u
x
y(u
2
+x
2
)y
y
= (x
2
+y
2
)u.
Solution.
The characteristic equations are
dx
x(y
2
u
2
)
=
dy
y(u
2
+x
2
)
=
du
(x
2
+y
2
)u
. Using a
property of proportions we can write
xdx + ydy + udu
x
2
(y
2
u
2
) y
2
(u
2
+ x
2
) + u
2
(x
2
+ y
2
=
du
(x
2
+ y
2
)u
.
That is
xdx + ydy + udu
0
=
du
(x
2
+ y
2
)u
or
xdx + ydy + udu = 0.
82 FIRST ORDER PARTIAL DIFFERENTIAL EQUATIONS
Hence, we nd x
2
+ y
2
+ u
2
= c
1
. Also,
dx
x
dy
y
y
2
u
2
+ u
2
+ x
2
=
du
(x
2
+ y
2
)u
or
dx
x
dy
y
=
du
u
.
Hence, we nd ln
_
yu
x
_
=constant or
yu
x
= c
2
. The general solution is given
by
f
_
x
2
+ y
2
+ u
2
,
yu
x
_
= 0
or
u =
x
y
g(x
2
+ y
2
+ u
2
)
where f and g are arbitrary dierentiable functions
Example 10.4
Solve the transport equation using the method of characteristics
u
t
+ cu
x
= 0.
Solution.
The characteristic equations are given by
dt
1
=
dx
c
=
du
0
.
Solving the rst two fractions we nd x ct = k. The last fraction implies
u = k
passing through P
0
which is not tangent to at
P
0
. In this case, condition (11.3) is satised and the new Cauchy problem has
a unique solution. Since there are innitely many ways of selecting
, we
obtain innitely many solutions. We illustrate this case in the next example.
Example 11.2
Solve the Cauchy problem
u
x
+ u
y
=1
u(x, x) =x
Solution.
The initial curve in R
3
can be given parametrically as
: x
0
(t) = t, y
0
(t) = t, u
0
(t) = t.
92 FIRST ORDER PARTIAL DIFFERENTIAL EQUATIONS
We have
a(x
0
(t), y
0
(t), u
0
(t))
dy
0
dt
(t) b(x
0
(t), y
0
(t), u
0
(t))
dx
0
dt
(t) = 0.
As in Example 11.1, the general solution of the PDE is u = x+f(xy) where
f is an arbitrary dierentiable function. Using the Cauchy data u(x, x) = x
we nd f(0) = 0. Thus, the solution is given by
u(x, y) = y + f(x y)
where f is an arbitrary function such that f(0) = 0. There are innitely
many choices for f. Hence, the problem has innitely many solutions. Note
that satises the characteristic equations
If condition (11.3) is not satised and if does not satisfy the characteristic
equations then it can be shown that the Cauchy problem has no solutions.
We illustrate this case next.
Example 11.3
Solve the Cauchy problem
u
x
+ u
y
=1
u(x, x) =1
Solution.
The initial curve in R
3
can be given parametrically as
: x
0
(t) = t, y
0
(t) = t, u
0
(t) = 1.
We have
a(x
0
(t), y
0
(t), u
0
(t))
dy
0
dt
(t) b(x
0
(t), y
0
(t), u
0
(t))
dx
0
dt
(t) = 0.
Solving the characteristic equations in parametric form we nd
x(s) = s + c
1
, y(s) = s + c
2
, u(s) = s + c
3
.
Clearly, does not satisfy the characteristic equations. Now, the general
solution to the PDE is given by u = x + f(x y). Using the Cauchy data
u(x, x) = 1 we nd f(0) = 1 x, which is not possible since the LHS is a
xed number whereas the RHS is a variable expression. Hence, the problem
has no solutions
11 THE CAUCHYPROBLEMFOR FIRST ORDER QUASILINEAR EQUATIONS93
Example 11.4
Solve the Cauchy problem
u
x
u
y
=1
u(x, 0) =x
2
(11.5)
Solution.
The initial curve is given parametrically by
: x
0
(t) = t, y
0
(t) = 0, u
0
(t) = t
2
.
We have
a(x
0
(t), y
0
(t), u
0
(t))
dy
0
dt
(t) b(x
0
(t), y
0
(t), u
0
(t))
dx
0
dt
(t) = 1 = 0
so the Cauchy problem has a unique solution.
The characteristic equations are
dx
1
=
dy
1
=
du
1
.
Using the rst two fractions we nd x +y = c
1
. Using the rst and the third
fractions we nd u x = c
2
. Thus, the general solution can be represented
by
u x = f(x + y)
where f is an arbitrary dierentiable function. Using the Cauchy data
u(x, 0) = x
2
we nd x
2
x = f(x). Hence, the unique solution is given
by
u = x + (x + y)
2
(x + y) = (x + y)
2
y
Example 11.5
Solve the initial value problem
u
t
+ uu
x
= x, u(x, 0) = 1.
Solution.
The initial curve is given parametrically by
: x
0
(s) = s, y
0
(s) = 0, u
0
(s) = 1.
94 FIRST ORDER PARTIAL DIFFERENTIAL EQUATIONS
We have
a(x
0
(s), y
0
(s), u
0
(s))
dy
0
ds
(s) b(x
0
(s), y
0
(s), u
0
(s))
dx
0
ds
(s) = 1 = 0
so the Cauchy problem has a unique solution.
The characteristic equations are
dt
1
=
dx
u
=
du
x
.
Since
dt
1
=
d(x + u)
x + u)
we nd that t = ln (x + u) ln c
1
or (x+u)e
t
= c
1
. Now, using the last two
fractions we nd u
2
x
2
= c
2
. Hence, the general solution is givne by
f((x + u)e
t
, u
2
x
2
) = 0
where f is an arbitrary dierentiable function. Using the Cauchy data we
nd c
1
= 1 + x and c
2
= 1 x
2
= 2(1 + x) (1 + x)
2
= 2c
1
c
2
1
. Thus,
u
2
x
2
= 2(x + u)e
t
(x + u)
2
e
2t
or
u x = 2e
t
(x + u)e
2t
.
This can be reduced further as follows: u + ue
2t
= x + 2e
t
xe
2t
=
2e
t
+ x(1 e
2t
) =u =
2e
t
1+e
2t
+ x
1e
2t
1+e
2t
= sech(t) + xtanh(t)
Example 11.6
Solve the initial value problem
uu
x
+ u
y
= 1
with the initial curve
: x
0
(s) = 2s
2
, y
0
(s) = 2s, u
0
(s) = 0, s > 0.
Solution.
We have
a(x
0
(s), y
0
(s), u
0
(s))
dy
0
ds
(s) b(x
0
(s), y
0
(s), u
0
(s))
dx
0
ds
(s) = 4s = 0, s > 0
11 THE CAUCHYPROBLEMFOR FIRST ORDER QUASILINEAR EQUATIONS95
so the Cauchy problem has a unique solution.
The characteristic equations in parametric form are given by the system of
ODEs
dx
dt
=u
dy
dt
=1
du
dt
=1
Thus, the solution of this system depends on two parameters s and t. Solving
the last two equations we nd
y(s, t) = t + c
2
, u(s, t) = t + c
3
.
Solving the rst equation with u being replaced by t + c
3
we nd
x(s, t) =
1
2
t
2
+ c
3
t + c
1
.
Using the initial conditions
x(s, 0) = 2s
2
, y(s, 0) = 2s, u(s, 0) = 0
we nd
x(s, t) =
1
2
t
2
+ 2s
2
, y(s, t) = t + 2s, u(s, t) = t.
Eliminating s and t we nd
(u y)
2
+ u
2
= 2x.
Solving this quadratic equation in u to nd
2u = y (4x y
2
)
1
2
.
The solution surface satisfying u = 0 on y
2
= 2x is given by
2u = y (4x y
2
)
1
2
.
This represents a solution surface only when y
2
< 4x. The solution does not
exist for y
2
> 4x
96 FIRST ORDER PARTIAL DIFFERENTIAL EQUATIONS
Practice Problems
Exercise 11.1
Solve
(y u)u
x
+ (u x)u
y
= x y
with the condition u(x,
1
x
) = 0.
Exercise 11.2
Solve the linear equation
yu
x
+ xu
y
= u
with the Cauchy data u(x, 0) = x
3
.
Exercise 11.3
Solve
x(y
2
+ u)u
x
y(x
2
+ u)u
y
= (x
2
y
2
)u
with the Cauchy data u(x, x) = 1.
Exercise 11.4
Solve
xu
x
+ yu
y
= xe
u
with the Cauchy data u(x, x
2
) = 0.
Exercise 11.5
Solve the initial value problem
xu
x
+ u
y
= 0, u(x, 0) = f(x)
using the characteristic equations in parametric form.
Exercise 11.6
Solve the initial value problem
u
t
+ au
x
= 0, u(x, 0) = f(x).
Exercise 11.7
Solve the initial value problem
au
x
+ u
y
= u
2
, u(x, 0) = cos x
11 THE CAUCHYPROBLEMFOR FIRST ORDER QUASILINEAR EQUATIONS97
Exercise 11.8
Solve the initial value problem
u
x
+ xu
y
= u, u(1, y) = h(y)
Exercise 11.9
Solve the initial value problem
uu
x
+ u
y
= 0, u(x, 0) = f(x)
Exercise 11.10
Solve the initial value problem
1 x
2
u
x
+ u
y
= 0, u(x, 0) = sin x
98 FIRST ORDER PARTIAL DIFFERENTIAL EQUATIONS
Sample Exam Questions
Exercise 11.11
Consider
xu
x
+ 2yu
y
= 0.
(i) Find and sketch the characteristics.
(ii) Find the solution with u(1, y) = e
y
.
(iii) What happens if you try to nd the solution satisfying either u(0, y) =
g(y) or u(x, 0) = h(x) for given functions g and h?
(iv) Explain, using your picture of the characteristics, what goes wrong at
(x, y) = (0, 0).
Exercise 11.12
Solve the equation u
x
+ u
y
= u subject to the condition u(x, 0) = cos x.
Exercise 11.13
(a) Find the general solution of the equation
u
x
+ yu
y
= u.
(b) Find the solution satisfying the Cauchy data u(x, 3e
x
) = 2.
(c) Find the solution satisfying the Cauchy data u(x, e
x
) = e
x
.
Exercise 11.14
Solve the Cauchy problem
u
x
+ 4u
y
= x(u + 1)
u(x, 5x) = 1.
Exercise 11.15
Solve the Cauchy problem
u
x
u
y
= u
u(x, x) = sin x.
11 THE CAUCHYPROBLEMFOR FIRST ORDER QUASILINEAR EQUATIONS99
Exercise 11.16
(a) Find the characteristics of the equation
yu
x
+ xu
y
= 0.
(b) Sketch some of the characteristics.
(c) Find the solution satisfying the boundary condition u(0, y) = e
y
2
.
(d) In which region of the plane is the solution uniquely determined?
Exercise 11.17
Consider the equation u
x
+ yu
y
= 0. Is there a solution satisfying the extra
condition
(a) u(x, 0) = 1
(b) u(x, 0) = x?
If yes, give a formula; if no, explain why.
100 FIRST ORDER PARTIAL DIFFERENTIAL EQUATIONS
Second Order Linear Partial
Dierential Equations
In this chapter we consider the three fundamental second order linear partial
dierential equations of parabolic, hyperbolic, and elliptic type. These types
arise in many applications such as the wave equation, the heat equation
and the Laplaces equation. We will study the solvability of each of these
equations.
12 Second Order PDEs in Two Variables
In this section we will briey review second order partial dierential equa
tions.
A second order partial dierential equation in the variables x and y
is an equation of the form
F(x, y, u, u
x
, u
y
, u
xx
, u
yy
, u
xy
) = 0. (12.1)
If Equation (12.1) can be written in the form
A(x, y, u, u
x
, u
y
)u
xx
+B(x, y, u, u
x
, u
y
)u
xy
+C(x, y, u, u
x
, u
y
)u
yy
= D(x, y, u, u
x
, u
y
)
(12.2)
then we say that the equation is quasilinear.
If Equation (12.1) can be written in the form
A(x, y)u
xx
+ B(x, y)u
xy
+ C(x, y)u
yy
= D(x, y, u, u
x
, u
y
) (12.3)
then we say that the equation is semilinear.
If Equation (12.1) can be written in the form
A(x, y)u
xx
+B(x, y)u
xy
+C(x, y)u
yy
+D(x, y)u
x
+E(x, y)u
y
+F(x, y)u = G(x, y)
(12.4)
101
102SECOND ORDER LINEAR PARTIAL DIFFERENTIAL EQUATIONS
then we say that the equation is linear.
A linear equation is said to be homogeneous when G(x, y) = 0 and non
homogeneous otherwise.
Equation (12.4) resembles the general equation of a conic section
Ax
2
+ Bxy + Cy
2
+ Dx + Ey + F = 0
which is classied as either parabolic, hyperbolic, or elliptic based on the sign
of the discriminant B
2
4AC. We do the same for a second order linear
partial dierential equation:
Hyperbolic: This occurs if B
2
4AC > 0 at a given point in the domain
of u.
Parabolic: This occurs if B
2
4AC = 0 at a given point in the domain
of u.
Elliptic: This occurs if B
2
4AC < 0 at a given point in the domain of
u.
Example 12.1
Determine whether the equation u
xx
+ xu
yy
= 0 is hyperbolic, parabolic or
elliptic.
Solution.
Here we are given A = 1, B = 0, and C = x. Since B
2
4AC = 4x, the
given equation is hyperbolic if x < 0, parabolic if x = 0 and elliptic if x > 0
Second order partial dierential equations arise in many areas of scientic
applications. In what follows we list some of the wellknown models that are
of great interest:
1. The heat equation in onedimensional space is given by
u
t
= ku
xx
where k is a constant.
2. The wave equation in onedimensional space is given by
u
tt
= c
2
u
xx
where c is a constant.
3. The Laplace equation is given by
u = u
xx
+ u
yy
= 0.
12 SECOND ORDER PDES IN TWO VARIABLES 103
Practice Problems
Exercise 12.1
Classify each of the following equation as hyperbolic, parabolic, or elliptic:
(a) Wave propagation: u
tt
= c
2
u
xx
, c > 0
(b) Heat conduction: u
t
= cu
xx
, c > 0.
(c) Laplaces equation: u = u
xx
+ u
yy
= 0.
Exercise 12.2
Classify the following linear scalar PDE with constant coecents as hyper
bolic, parabolic or elliptic.
(a) u
xx
+ 4u
xy
+ 5u
yy
+ u
x
+ 2u
y
= 0
(b) u
xx
4u
xy
+ 4u
yy
+ 3u
x
+ 4u = 0
(c) u
xx
+ 2u
xy
3u
yy
+ 2u
x
+ 6u
y
= 0.
Exercise 12.3
Find the region(s) in the xyplane where the equation
(1 + x)u
xx
+ 2xyu
xy
y
2
u
yy
= 0
is elliptic, hyperbolic, or parabolic. Sketch these regions.
Exercise 12.4
Show that u(x, t) = cos x sin t is a solution to the problem
u
tt
= u
xx
u(x, 0) = 0
u
t
(x, 0) = cos x
u
x
(0, t) = 0
for all x, t > 0.
Exercise 12.5
Classify each of the following PDE as linear, quasilinear, semilinear, or non
linear.
(a) u
t
+ uu
x
= vu
xx
(b) xu
tt
+ tu
yy
+ u
3
u
2
x
= t + 1
(c) u
tt
= c
2
u
xx
(d) u
2
tt
+ u
x
= 0.
104SECOND ORDER LINEAR PARTIAL DIFFERENTIAL EQUATIONS
Exercise 12.6
Show that, for all (x, y) = (0, 0), u(x, y) = ln (x
2
+ y
2
) is a solution of
u
xx
+ u
yy
= 0,
and that, for all (x, y, z) = (0, 0, 0), u(x, y, z) =
1
x
2
+y
2
+z
2
is a solution of
u
xx
+ u
yy
+ u
zz
= 0.
Exercise 12.7
Consider the eigenvalue problem
u
xx
= u, 0 < x < L
u
x
(0) = k
0
u(0)
u
x
(L) = k
L
u(L)
with Robin boundary conditions, where k
0
and k
L
are given positive numbers
and u = u(x). Can this system have a nontrivial solution u 0 for > 0?
Hint: Multiply the rst equation by u and integrate over x [0, L].
Exercise 12.8
Show that u(x, y) = f(x)g(x), where f and g are arbitrary dierentiable
functions, is a solution to the PDE
uu
xy
= u
x
u
y
.
Exercise 12.9
Show that for any n N, the function u
n
(x, y) = sin nx sinh ny is a solution
to the Laplace equation
u = u
xx
+ u
yy
= 0.
Exercise 12.10
Solve
u
xy
= xy.
12 SECOND ORDER PDES IN TWO VARIABLES 105
Sample Exam Questions
Exercise 12.11
Classify each of the following secondoder PDEs according to whether they
are hyperbolic, parabolic, or elliptic:
(a) 2u
xx
4u
xy
+ 7u
yy
u = 0
(b) u
xx
2 cos xu
xy
sin
2
xu
yy
= 0
(c) yu
xx
+ 2(x 1)u
xy
(y + 2)u
yy
= 0.
Exercise 12.12
Let c > 0. By computing u
x
, u
xx
, u
t
, and u
tt
show that
u(x, t) =
1
2
(f(x + ct) + f(x ct)) +
1
2c
_
x+ct
xct
g(s)ds
is a solution to the PDE
u
tt
= c
2
u
xx
where f is twice dierentiable function and g is a dierentiable function.
Then compute and simplify u(x, 0) and u
t
(x, 0).
Exercise 12.13
Consider the secondorder PDE
yu
xx
+ u
xy
x
2
u
yy
u
x
u = 0.
Determine the region D in R
2
, if such a region exists, that makes this PDE:
(a) hyperbolic, (b) parabolic, (c) elliptic.
Exercise 12.14
Consider the secondorder hyperbolic PDE
u
xx
+ 2u
xy
3u
yy
= 0.
Use the change of variables v(x, y) = y 3x and w(x, y) = x +y to solve the
given equation.
Exercise 12.15
Solve the Cauchy problem
u
xx
+ 2u
xy
3u
yy
= 0.
u(x, 2x) = 1, u
x
(x, 2x) = x.
106SECOND ORDER LINEAR PARTIAL DIFFERENTIAL EQUATIONS
13 Hyperbolic Type: The Wave equation
The wave equation has many physical applications from sound waves in air
to magnetic waves in the Suns atmosphere. However, one of the simplest
systems to visualize and describe are waves on a stretched elastic string.
Initially the string is horizontal. Then we distort it by displacing it in the
vertical direction and at some time, say t = 0, we release it and the string
starts to oscillate. The aim is to try and determine the vertical displacement
from the xaxis of the string, u(x, t), as a function of position x and time
t. A displacement of a tiny piece of the string between points P and Q is
shown in Figure 13.1.
Figure 13.1
To derive the wave equation we need to make some simplifying assumptions:
(1) The density of the string, , is constant so that the mass of the string
between P and Q is simply times the length of the string between P and
Q, namely s where
s =
_
(x)
2
+ (u)
2
= x
1 +
_
u
x
_
2
x
1 +
_
u
x
_
2
(2) The displacement, u(x, t), and its derivatives are assumed small so that
s x
13 HYPERBOLIC TYPE: THE WAVE EQUATION 107
and the mass of the portion of the string is
x.
(3) The only forces acting on this portion of the string are the tensions
T(x, t) at P and T(x + x, t) at Q. (In physics, tension is the magnitude of
the pulling force exerted by a string). The gravitational force is neglected.
(4) The motions are purely vertical. There is no horizontal motion of any
portion of the string.
Next, we consider the forces acting on the typical string portion shown in
Figure 13.1. These forces are:
(i) tension pulling to the right, which has magnitude T(x + x, t), and acts
at an angle (x + x, t) above the horizontal.
(ii) tension pulling to the left, which has magnitude T(x, t), and acts at an
angle (x, t) above the horizontal.
Now we resolve the forces into their horizontal and vertical components.
Horizontal: At P the tension force is T(x, t) cos (x, t) whereas at Q the
force is T(x + x, t) cos (x + x, t). Since there is no horizontal motion,
these forces must balance and so
T(x, t) cos (x, t) = T(x + x, t) cos (x + x, t) = T.
Vertical: At P the tension force is T(x, t) sin (x, t) whereas at Q the
force is T(x + x, t) sin (x + x, t). Then Newtons Law of motion gives
mass acceleration = Applied Forces
that is
x
2
u
t
2
= T(x + x, t) sin (x + x, t) T(x, t) sin (x, t).
Dividing by T we obtain
T
x
2
u
t
2
=
T(x + x, t) sin (x + x, t)
T(x + x, t) cos (x + x, t)
T(x, t) sin (x, t)
T(x, t) cos (x, t)
=tan (x + x, t) tan (x, t).
But
tan (x, t) = lim
x0
u
x
= u
x
(x, t).
108SECOND ORDER LINEAR PARTIAL DIFFERENTIAL EQUATIONS
Likewise,
tan (x + x, t) = u
x
(x + x, t).
Hence, we get
T
xu
tt
(x, t) = u
x
(x + x, t) u
x
(x, t).
Dividing by x and letting x 0 we obtain
T
u
tt
(x, t) = u
xx
(x, t)
or
u
tt
(x, t) = c
2
u
xx
(x, t) (13.1)
where c
2
=
T
(x) cg
(x) = w(x)
which implies that
f(x) g(x) =
1
c
W(x) =
1
c
_
w(x)dx
Therefore,
g(x) =
1
2
(v(x)
1
c
W(x))
Hence,
f(x) =
1
2
(v(x) +
1
c
W(x)).
Finally,
u(x, t) =
1
2
[v(x ct) + v(x + ct) +
1
c
(W(x + ct) W(x ct))]
=
1
2
[v(x ct) + v(x + ct) +
1
c
_
x+ct
xct
w(s)ds]
110SECOND ORDER LINEAR PARTIAL DIFFERENTIAL EQUATIONS
Practice Problems
Exercise 13.1
Show that if v(x, t) and w(x, t) satisfy equation (13.1) then v + w is also
a solution to (13.1), where and are constants.
Exercise 13.2
Show that any linear time independent function u(x, t) = ax+b is a solution
to equation (13.1).
Exercise 13.3
Find a solution to (13.1) that satises the homogeneous conditions u(x, 0) =
u(0, t) = u(L, t) = 0.
Exercise 13.4
Solve the initial value problem
u
tt
=9u
xx
u(x, 0) =cos x
u
t
(x, 0) =0
Exercise 13.5
Solve the initial value problem
u
tt
=u
xx
u(x, 0) =
1
1 + x
2
u
t
(x, 0) =0
Exercise 13.6
Solve the initial value problem
u
tt
=4u
xx
u(x, 0) =1
u
t
(x, 0) =cos (2x)
13 HYPERBOLIC TYPE: THE WAVE EQUATION 111
Exercise 13.7
Solve the initial value problem
u
tt
=25u
xx
u(x, 0) =v(x)
u
t
(x, 0) =0
where
v(x) =
_
1 if x < 0
0 if x 0
Exercise 13.8
Solve the initial value problem
u
tt
=c
2
u
xx
u(x, 0) =e
x
2
u
t
(x, 0) =cos
2
x
Exercise 13.9
Prove that the wave equation, u
tt
= c
2
u
xx
satises the following properties,
which are known as invariance properties. If u(x, t) is a solution, then
(i) Any translate, u(x y, t) where y is a xed constant, is also a solution.
(ii) Any derivative, say u
x
(x, t), is also a solution.
(iii) Any dilation, u(ax, at), is a solution, for any xed constant a.
Exercise 13.10
Find v(r) if u(r, t) =
v(r)
r
cos nt is a solution to the PDE
u
rr
+
2
r
u
r
= u
tt
.
112SECOND ORDER LINEAR PARTIAL DIFFERENTIAL EQUATIONS
Sample Exam Questions
Exercise 13.11
Find the solution of the wave equation on the real line ( < x < +)
with the initial conditions
u(x, 0) = e
x
, u
t
(x, 0) = sin x.
Exercise 13.12
The total energy of the string (the sum of the kinetic and potential energies)
is dened as
E(t) =
1
2
_
L
0
(u
2
t
+ c
2
u
2
t
)dx.
(a) Using the wave equation derive the equation of conservation of energy
dE(t)
dt
= c
2
(u
t
(L, t)u
x
(L, t) u
t
(0, t)u
x
(0, t)).
(b) Assuming xed ends boundary conditions, that is the ends of the string
are xed so that u(0, t) = u(L, t) = 0, for all t > 0, show that the energy is
constant.
(c) Assuming free ends boundary conditions for both x = 0 and x = L show
that the energy is constant.
Exercise 13.13
For a wave equation with damping
u
tt
c
2
u
xx
+ du
t
= 0, d > 0, 0 < x < L
with the xed ends boundary conditions show that the total energy decreases.
Exercise 13.14
(a) Verify that for any R(x) the function
u(x, t) = R(x ct)
is a solution of the wave equation u
tt
= c
2
u
xx
. Such solutions are called
traveling waves.
(b) Show that the potential and kinetic energies (see Exercise 13.12) are
equal for the traveling wave solution in (a).
13 HYPERBOLIC TYPE: THE WAVE EQUATION 113
Exercise 13.15
Find the solution of the Cauchy wave equation
u
tt
= 4u
xx
u(x, 0) = x
2
, u
t
(x, 0) = sin 2x.
Simplify your answer as much as possible.
114SECOND ORDER LINEAR PARTIAL DIFFERENTIAL EQUATIONS
14 Parabolic Type: The Heat Equation in One
Dimensional Space
In this section, We will look at a model for describing the distribution of
temperature in a solid material as a function of time and space.
Before we begin our discussion of the mathematics of the heat equation, we
must rst determine what is meant by the term heat? Heat is type of energy
known as thermal energy. Heat travels in waves like other forms of energy,
and can change the matter it touches. It can heat it up and cause chemical
reactions like burning to occur.
Heat can be released through a chemical reaction (such as the nuclear re
actions that make the Sun burn) or can be trapped for a limited time by
insulators. It is often released along with other kinds of energy such as light
waves or sound waves. For example, a burning candle releases light and heat
waves. On the other hand, an explosion releases light, heat, and sound waves.
The most common units of heat are BTU (British Thermal Unit), Calorie
and Joule.
Consider now a rod made of homogeneous heat conducting material of uni
form density and constant cross section A, placed along the xaxis from
x = 0 to x = L as shown in Figure 14.1.
Figure 14.1
Assume the heat ows only in the xdirection, with the lateral sides insu
lated, and the only way heat can enter or leave the rod is at either end. Also
we assume that the temperature of the rod is constant at any point of the
cross section. In other words, temperature will only vary in x and we can
hence consider the rod to be a one spatial dimensional rod. We will also
assume that heat energy in any piece of the rod is conserved.
Let u(x, t) be the temperature of the cross section at the point x and the
time t. Consider an innitesimal portion U of the rod from x to x + x of
length x as shown in Figure 14.2.
14 PARABOLIC TYPE: THE HEAT EQUATIONINONEDIMENSIONAL SPACE115
Figure 14.2
From the theory of heat conduction, the rate of change of heat in the portion
U is given by
_
x+x
x
cAu
t
(s, t)dx
where c is the specic heat, that is, the amount of heat energy that it takes
to raise one unit of mass of the material by one unit of temperature.
Assuming that u is continuously dierentiable, we can apply the mean value
theorem for integrals and nd x x + x such that
_
x+x
x
u
t
(s, t)dx = xu
t
(, t).
Thus, the rate of change of heat in U is given by
cAxu
t
(, t).
On the other hand, by Fourier (or Ficks) law of heat conduction, the rate
of heat ow through any cross section is proportional to the area A and the
gradient of the temperature normal to the cross section, and heat ows in
the direction of decreasing temperature. Thus, the rate of heat owing in U
through the cross section at x is KAu
x
(x, t) and the rate of heat owing
out of U through the cross section at x+x is KAu
x
(x+x, t), where K
is the thermal conductivity of the rod.
Now, the conservation of energy law states
rate of change of heat in U = rate of heat owing in rate of heat owing
out
116SECOND ORDER LINEAR PARTIAL DIFFERENTIAL EQUATIONS
or mathematically written as,
cAxu
t
(, t) = KAu
x
(x, t) + KAu
x
(x + x, t)
or
cAxu
t
(, t) = KA[u
x
(x + x, t) u
x
(x, t)].
Dividing this last equation by cAx and letting x 0 we obtain
u
t
(x, t) = ku
xx
(x, t) (14.1)
where k =
K
c
is called the diusivity constant.
Equation (14.1) is the one dimensional heat equation which is second order,
linear, homogeneous, and of parabolic type.
The nonhomogeneous heat equation
u
t
= ku
xx
+ f(x)
is known as the heat equation with an external heat source f(x). An ex
ample of an exterenal heat source is the heat generated from a candle placed
under the bar.
The function
E(t) =
_
L
0
cu(x, t)dx
is called the total thermal energy at time t of the entire rod.
Example 14.1
The two ends of a uniform rod of length L are insulated. There is a con
stant source of thermal energy q
0
= 0 and the temperature is initially
u(x, 0) = f(x).
(a) Write the equation and the boundary conditions for this model.
(b) Calculate the total thermal energy of the entire rod.
Solution.
(a) The model is given by the PDE
cu
t
(x, t) = Ku
xx
+ q
0
with boundary conditions
u
x
(0, t) = u
x
(L, t) = 0.
14 PARABOLIC TYPE: THE HEAT EQUATIONINONEDIMENSIONAL SPACE117
(b) First note that
d
dt
_
L
0
cu(x, t)dx =
_
L
0
cu
t
(x, t)dx =
_
L
0
Ku
xx
dx +
_
L
0
q
0
dx
= Ku
x

L
0
+ q
0
L = 0
since u
x
(0, t) = u
x
(L, t) = 0. Integrating in time from 0 to t we nd
E(t) = q
0
Lt + C.
But C = E(0) =
_
L
0
cu(x, 0)dx =
_
L
0
cf(x)dx. Hence, the total thermal
energy is given by
E(t) =
_
L
0
cf(x)dx + q
0
Lt
Initial Boundary Value Problems
In order to solve the heat equation we must give the problem some initial
conditions. If you recall from the theory of ODE, the number of conditions
required for solving initial value problems always matched the highest order
of the derivative in the equation.
In partial dierential equations the same idea holds except now we have to
pay attention to the variable we are dierentiating with respect to as well.
So, for the heat equation we have got a rst order time derivative and so we
will need one initial condition and a second order spatial derivative and so
we will need two boundary conditions.
For the initial condition, we dene the temperature of every point along the
rod at time t = 0 by
u(x, 0) = f(x)
where f is a given (prescribed) function of x. This function is known as the
initial temperature distribution.
The boundary conditions will tell us something about what the temperature
is doing at the ends of the bar. The conditions are given by
u(0, t) = T
0
and u(L, t) = T
L
.
and they are called as the Dirichlet conditions. In this case, the general
form of the heat equation initial boundary value problem is to nd u(x, t)
satisfying
u
t
(x, t) =ku
xx
(x, t), 0 x L, t > 0
u(x, 0) =f(x), 0 x L
u(0, t) =T
0
, u(L, t) = T
L
, t > 0.
118SECOND ORDER LINEAR PARTIAL DIFFERENTIAL EQUATIONS
In the case of insulated endpoints, i.e. there is no heat ow out of them, we
use the boundary conditions
u
x
(0, t) = u
x
(L, t) = 0.
These conditions are examples of what is known as Neumann boundary
conditions. In this case, the general form of the heat equation initial bound
ary value problem is to nd u(x, t) satisfying
u
t
(x, t) =ku
xx
(x, t), 0 x L, t > 0
u(x, 0) =f(x), 0 x L
u
x
(0, t) =u
x
(L, t) = 0, t > 0.
14 PARABOLIC TYPE: THE HEAT EQUATIONINONEDIMENSIONAL SPACE119
Practice Problems
Exercise 14.1
Show that if u(x, t) and u(x, t) satisfy equation (14.1) then u +v is also a
solution to (14.1), where and are constants.
Exercise 14.2
Show that any linear time independent function u(x, t) = ax+b is a solution
to equation (14.1).
Exercise 14.3
Find a lnear time independent solution u to (14.1) that satises u(0, t) = T
0
and u(L, T) = T
L
.
Exercise 14.4
Show that to solve (14.1) with the boundary conditions u(0, t) = T
0
and
u(L, t) = T
L
it suces to solve (14.1) with the homogeneous boundary
conditions u(0, t) = u(L, t) = 0.
Exercise 14.5
Find a solution to (14.1) that satises the conditions u(x, 0) = u(0, t) =
u(L, t) = 0.
Exercise 14.6
Let (I) denote equation (14.1) together with intial time condition u(x, 0) =
f(x), where f is not the zero function, and the homogeneous boundary condi
tions u(0, t) = u(L, t) = 0. Suppose a nontrivial solution to (I) can be written
in the form u(x, t) = X(x)T(t). Show that X and T satises the ODE
X
k
X = 0 and T
T = 0.
for some constant .
Exercise 14.7
Consider again the solution u(x, t) = X(x)T(t). Clearly, T(t) = T(0)e
t
.
Suppose that > 0.
(a) Show that X(x) = Ae
x
+ Be
x
, where =
k
and A and B are
arbitrary constants.
(b) Show that A and B satises the two equations A+B = 0 and A(e
L
) = 0.
120SECOND ORDER LINEAR PARTIAL DIFFERENTIAL EQUATIONS
(c) Show that A = 0 leads to a contradiction.
(d) Using (b) and (c) show that e
L
= e
L
. Show that this equality leads
to a contradiction. We conclude that < 0.
Exercise 14.8
Consider the results of the previous exercise.
(a) Show that X(x) = c
1
cos x + c
2
sin x where =
_
k
.
(b) Show that =
n
=
kn
2
2
L
2
, where n is an integer.
Exercise 14.9
Show that u(x, t) =
n
k=1
u
k
(x, t), where u
n
(x, t) = c
n
e
kn
2
2
L
2
t
sin
_
n
L
_
x sat
ises (14.1) and the homogeneous boundary conditions.
Exercise 14.10
Suppose that a wire is stretched between 0 and a. Describe the boundary
conditions for the temperature u(x, t) when
(i) the left end is kept at 0 degrees and the right end is kept at 100 degrees;
and
(ii) when both ends are insulated.
Exercise 14.11
Let u
t
= u
xx
for 0 < x < and t > 0 with boundary conditions u(0, t) =
0 = u(, t) and initial condition u(x, 0) = f(x). Let E(t) =
_
0
(u
2
t
+ u
2
x
)dx.
Show that E
(t) < 0.
Exercise 14.12
Suppose
u
t
= u
xx
+ 4, u
x
(0, t) = 5, u
x
(L, t) = 6, u(x, 0) = f(x).
Calculate the total thermal energy of the onedimensional rod (as a function
of time).
14 PARABOLIC TYPE: THE HEAT EQUATIONINONEDIMENSIONAL SPACE121
Sample Exam Questions
Exercise 14.13
Consider the heat equation
u
t
= ku
xx
for x (0, 1) and t > 0, with boundary conditions u(0, t) = 2 and u(1, t) = 3
for t > 0 and initial conditions u(x, 0) = x for x (0, 1). A function v(x)
that satises the equation v
n=1
f
n
(x) converges pointwise to a function f if and only if the sequence
of partial sums
S
n
(x) = f
1
(x) + f
2
(x) + + f
n
(x)
converges pointwise to f. We write
n=1
f
n
(x) = lim
n
S
n
(x) = f(x).
Likewise, we say that a series of functions
n=1
f
n
(x) converges uniformly
to a function f if and only if the sequence of partial sums {S
n
}
n=1
converges
uniformly to f.
In this section we introduce a type of series of functions known as Fourier
series. They are given by
f(x) =
a
0
2
+
n=1
_
a
n
cos
_
n
L
x
_
+ b
n
sin
_
n
L
x
__
, L x L (15.1)
where a
n
and b
n
are called the Fourier coecients. The expression on the
right is called a trigonometric series. Note that we begin the series with
a
0
2
as opposed to simply a
0
to simplify the coecient formula for a
n
that we
124SECOND ORDER LINEAR PARTIAL DIFFERENTIAL EQUATIONS
will derive later in this section.
The main questions we want to consider next are the questions of determin
ing which functions can be represented by Fourier series and if so how to
compute the coecients a
n
and b
n
.
Before answering these questions, we look at some of the properties of Fourier
series.
Periodicity Property
Recall that a function f is said to be periodic with period T > 0 if
f(x + T) = f(x) for all x, x + T in the domain of f. The smallest value
of T for which f is periodic is called the fundamental period. A graph of
a Tperiodic function is shown in Figure 15.1.
Figure 15.1
For a Tperiodic function we have
f(x) = f(x + T) = f(x + 2T) = .
Note that the denite integral of a Tperiodic function is the same over any
interval of length T. By Exercise 15.1 below, if f and g are two periodic func
tions with common period T, then the product fg and an arbitrary linear
combination c
1
f +c
2
g are also periodic with period T. It is an easy exercise
to show that the Fourier series (15.1) is periodic with fundamental period 2L.
Orthogonality Property
Recall from Calculus that for each pair of vectors u and v we associate a
scalar quantity u v called the dot product of u and v. We say that u and v
are orthogonal if and only if u v = 0. We want to dene a similar concept
for functions.
Let f and g be two functions with domain the closed interval [a, b]. We dene
15 AN INTRODUCTION TO FOURIER SERIES 125
a function that takes a pair of functions to a scalar. Symbolically, we write
< f, g >=
_
b
a
f(x)g(x)dx.
We call < f, g > the inner product of f and g. We say that f and g
are orthogonal if and only if < f, g >= 0. A set of functions is said to
be mutually orthogonal if each distinct pair of functions in the set is
orthogonal.
Example 15.1
Show that the set
_
1, cos
_
n
L
x
_
, sin
_
n
L
x
_
: n N
_
is mutually orthogonal in
[L, L].
Solution.
We have
_
L
L
1 cos
_
n
L
x
_
dx =
_
sin
_
n
L
x
__
L
L
= 0
and
_
L
L
1 sin
_
n
L
x
_
dx =
_
cos
_
n
L
x
__
L
L
= 0.
Now, for n = m we have
_
L
L
cos
_
m
L
x
_
cos
_
n
L
x
_
dx =
1
2
_
L
L
_
cos
_
(m + n)
L
x
_
+ cos
_
(mn)
L
x
__
dx
=
1
2
_
L
(m + n)
sin
_
(m + n)
L
x
_
+
L
(mn)
sin
_
(mn)
L
x
__
L
L
= 0
where we used the trigonometric identity
cos a cos b =
1
2
[cos (a + b) + cos (a b)].
In the exercises below, we show that
_
L
L
sin
_
m
L
x
_
sin
_
n
L
x
_
dx = 0
126SECOND ORDER LINEAR PARTIAL DIFFERENTIAL EQUATIONS
and
_
L
L
cos
_
m
L
x
_
sin
_
n
L
x
_
dx = 0
The reason we care about these functions being orthogonal is because we will
exploit this fact to develop a formula for the coecients in our Fourier series.
Now, in order to answer the rst question mentioned earlier, that is, which
functions can be expressed as a Fourier series expansion, we need to intro
duce some mathematical concepts.
A function f(x) is said to be piecewise continuous on [a, b] if it is contin
uous in [a, b] execept possibly at nitely many points of discontinuity within
the interval [a, b], and at each point of discontinuity, the right and left
handed limits of f exist. An example of a piecewise continuous function is
the function
f(x) =
_
x 0 x < 1
x
2
x 1 x 2
We will say that f is piecewise smooth in [a, b] if and only if f(x) as well
as its derivatives are piecewise continuous.
The following theorem, proven in more advanced books, ensures that a
Fourier decomposition can be found for any function which is piecewise
smooth.
Theorem 15.1
Let f be a 2Lperiodic function. If f is a piecewise smooth on [L, L] then
for all points of discontinuity x (L, L) we have
f(x
) + f(x
+
)
2
=
a
0
2
+
n=1
_
a
n
cos
_
n
L
x
_
+ b
n
sin
_
n
L
x
__
.
where as for points of continuity x (L, L) we have
f(x) =
a
0
2
+
n=1
_
a
n
cos
_
n
L
x
_
+ b
n
sin
_
n
L
x
__
.
Remark 15.1
(1) Almost all functions occurring in practice are piecewise smooth functions.
(2) Given a nonperiodic function f on [L, L]. The above theorem applies
to the periodic extension F of f where F(x + 2nL) = f(x) (n Z) and
F(x) = f(x) on [L, L].
15 AN INTRODUCTION TO FOURIER SERIES 127
Convergence Results of Fourier Series
We list few of the results regarding the convergence of Fourier series:
(1) The type of convergence in the above theorem is pointwise convergence.
(2) The convergence is uniform for a continuous function f on [L, L] such
that f(L) = f(L).
(3) The convergence is uniform whenever
n=1
(a
n

2
+b
n

2
) is convergent.
(4) If f(x) is periodic, continuous, and has a piecewise continuous derivative,
then the Fourier Series corresponding to f converges uniformly to f(x) for
the entire real line.
(5) The convergence is uniform on any closed interval that does not contain
a point of discontinuity.
EulerFourier Formulas
Next, we will answer the second question mentioned earlier, that is, the ques
tion of nding formulas for the coecients a
n
and b
n
. These formulas for a
n
and b
n
are called EulerFourier formulas which we derive next. We will as
sume that the RHS in (15.1) converges uniformly to f(x) on the interval
[L, L]. Integrating both sides of (15.1) we obtain
_
L
L
f(x)dx =
_
L
L
a
0
2
dx +
_
L
L
n=1
_
a
n
cos
_
n
L
x
_
+ b
n
sin
_
n
L
x
__
dx.
Since the trigonometric series is assumed to be uniformly convergent, from
the previous section, we can interchange the order of integration and sum
mation to obtain
_
L
L
f(x)dx =
_
L
L
a
0
2
dx +
n=1
_
L
L
_
a
n
cos
_
n
L
x
_
+ b
n
sin
_
n
L
x
__
dx.
But
_
L
L
cos
_
n
L
x
_
dx =
L
n
sin
_
n
L
x
__
L
L
= 0
and likewise
_
L
L
sin
_
n
L
x
_
dx =
L
n
cos
_
n
L
x
__
L
L
= 0.
Thus,
a
0
=
1
L
_
L
L
f(x)dx.
128SECOND ORDER LINEAR PARTIAL DIFFERENTIAL EQUATIONS
To nd the other Fourier coecients, we recall the results of Exercises 15.2
 15.3 below.
_
L
L
cos
_
n
L
x
_
cos
_
m
L
x
_
dx =
_
L if m = n
0 if m = n
_
L
L
sin
_
n
L
x
_
sin
_
m
L
x
_
dx =
_
L if m = n
0 if m = n
_
L
L
sin
_
n
L
x
_
sin
_
m
L
x
_
dx = 0, m, n.
Now, to nd the formula for the Fourier coecients a
m
for m > 0, we multiply
both sides of (15.1) by cos
_
m
L
x
_
and integrate from L to L to otbain
_
L
L
f(x) cos
_
m
L
x
_
=
_
L
L
a
0
2
cos
_
m
L
x
_
dx +
n=1
_
a
n
_
L
L
cos
_
n
L
x
_
cos
_
m
L
x
_
dx
+ b
n
_
L
L
sin
_
n
L
x
_
cos
_
m
L
x
_
_
dx.
Hence,
_
L
L
f(x) cos
_
m
L
x
_
dx = a
m
L
and therefore
a
m
=
1
L
_
L
L
f(x) cos
_
m
L
x
_
dx.
Likewise, we can show that
b
m
=
1
L
_
L
L
f(x) sin
_
m
L
x
_
dx.
Example 15.2
Find the Fourier series expansion of
f(x) =
_
0, x 0
x, x > 0.
on the interval [, ].
15 AN INTRODUCTION TO FOURIER SERIES 129
Solution.
We have
a
0
=
1
f(x)dx =
1
_
0
xdx =
2
a
n
=
1
_
0
x cos nxdx =
1
_
x sin nx
n
+
cos nx
n
2
_
0
=
(1)
n
1
n
2
b
n
=
1
_
0
x sin nxdx =
1
x cos nx
n
+
sin nx
n
2
_
0
=
(1)
n+1
n
Hence,
f(x) =
4
+
n=1
_
(1)
n
1
n
2
cos (nx) +
(1)
n+1
n
sin (nx)
_
Example 15.3
Apply the Theorem 15.1 to the function in Example 15.2.
Solution.
Let F be a periodic extension of f of period 2. Thus, f(x) = F(x) on the
interval [, ]. Clearly, F is a piecewise smooth function so that by the
previous thereom we can write
4
+
n=1
_
(1)
n
1
n
2
cos (nx) +
(1)
n+1
n
sin (nx)
_
=
_
_
_
2
, if x =
f(x), if < x <
2
, if x =
Taking x = we have the identity
4
+
n=1
(1)
n
1
n
2
(1)
n
=
2
which can be simplied to
n=1
1
(2n 1)
2
=
2
8
.
This provides a method for computing an approximate value of
130SECOND ORDER LINEAR PARTIAL DIFFERENTIAL EQUATIONS
Remark 15.2
An example of a function that does not a Fourier series representation is
the function f(x) =
1
x
2
on [L, L]. For example, the coecient a
0
for this
function does not exist. Thus, not every function can be written as a Fourier
series expansion.
The nal topic of discussion here is the topic of dierentiation and integration
of Fourier series. In particular we want to know if we can dierentiate a
Fourier series term by term and have the result be the Fourier series of the
derivative of the function. Likewise we want to know if we can integrate a
Fourier series term by term and arrive at the Fourier series of the integral of
the function. Answers to these questions are provided next.
Theorem 15.2
A Fourier series of a piecewise smooth function f can always be integrated
term by term and the result is a convergent innite series that always con
verges to
_
L
L
f(x)dx even if the original series has jumps.
Theorem 15.3
A Fourier series that is continuous can be dierentiated term by term if f
(x)
is piecewise smooth. The result of the dierentiation is the Fourier series of
f
(x).
15 AN INTRODUCTION TO FOURIER SERIES 131
Practice Problems
Exercise 15.1
Let f and g be two functions with common domain D and common period
T. Show that
(a) fg is periodic of period T.
(b) c
1
f + c
2
g is periodic of period T, where c
1
and c
2
are real numbers.
Exercise 15.2
Show that for m = n we have
(a)
_
L
L
sin
_
m
L
x
_
sin
_
n
L
x
_
dx = 0 and
(b)
_
L
L
cos
_
m
L
x
_
sin
_
n
L
x
_
dx = 0
Exercise 15.3
Compute the following integrals:
(a)
_
L
L
cos
2
_
n
L
x
_
dx.
(b)
_
L
L
sin
2
_
n
L
x
_
dx.
(c)
_
L
L
cos
_
n
L
x
_
sin
_
n
L
x
_
dx.
Exercise 15.4
Find the Fourier coecients of
f(x) =
_
_
_
, x < 0
, 0 < x <
0, x = 0,
on the interval [, ].
Exercise 15.5
Find the Fourier series of f(x) = x
2
1
2
on the interval [1, 1].
Exercise 15.6
Find the Fourier series of the function
f(x) =
_
_
_
1, 2 < x <
0, < x <
1, < x < 2.
132SECOND ORDER LINEAR PARTIAL DIFFERENTIAL EQUATIONS
Exercise 15.7
Find the Fourier series of the function
f(x) =
_
1 + x, 2 x 0
1 x, 0 < x 2.
Exercise 15.8
Show that f(x) =
1
x
is not piecewise continuous on [1, 1].
Exercise 15.9
Assume that f(x) is continuous and has period 2L. Prove that
_
L
L
f(x)dx =
_
L+a
L+a
f(x)dx
is independent of a R. In particular, it does not matter over which interval
the Fourier coecients are computed as long as the interval length is 2L.
[Remark: This result is also true for piecewise continuous functions].
Exercise 15.10
Consider the function f(x) dened by
f(x) =
_
1 0 x < 1
2 1 x < 3
and extended periodically with period 3 to R so that f(x +3) = f(x) for all
x.
(i) Find the Fourier series of f(x).
(ii) Discuss its limit: In particular, does the Fourier series converge pointwise
or uniformly to its limit, and what is this limit?
(iii) Plot the graph of f(x) and the limit of the Fourier series.
15 AN INTRODUCTION TO FOURIER SERIES 133
Sample Exam Questions
Exercise 15.11
For the following functions f(x) on the interval L < x < L, determine the
coecients a
n
, n = 0, 1, 2, and b
n
, n N of the Fourier series expansion.
(a) f(x) = 1.
(b) f(x) = 2 + sin
_
pix
L
_
.
(c) f(x) =
_
1 x 0
0 x > 0
(d) f(x) = x.
Exercise 15.12
Let f(t) be the function with period 2 dened as
f(t) =
_
2 if 0 x
2
0 if
2
< x 2
f(t) has a Fourier series and that series is equal to
a
0
2
+
n=1
(a
n
cos nt + b
n
sin nt).
Find
a
3
b
3
.
Exercise 15.13
Let f(x) = x
3
on [, ], extended periodically to all of R. Find the Fourier
coecients a
n
, n = 1, 2, 3, .
Exercise 15.14
Let f(x) be the square wave function
f(x) =
_
x < 0
0 x
extended periodically to all of R. To what value does the Fourier series of
f(x) converge when x = 0?
Exercise 15.15
(a) Find the Fourier series of
f(x) =
_
1 x < 0
2 0 x
extended periodically to all of R. Simplify your coecients as much as pos
sible.
(b) Use (a) to evaluate the series
n=1
(1)
n+1
(2n1)
. Hint: Evaluate the Fourier
series at x =
2
.
134SECOND ORDER LINEAR PARTIAL DIFFERENTIAL EQUATIONS
16 Fourier Sines Series and Fourier Cosines Se
ries
In this section we discuss some important properties of Fourier series when
the underlying function f is either even or odd.
A function f is odd if it satises f(x) = f(x) for all x in the domain of f
whereas f is even if it satises f(x) = f(x) for all x in the domain of f.
Now, we recall from Exercises (1.6)(1.7) the following facts about even and
odd functions. If f(x) is even then
_
L
L
f(x)dx = 2
_
L
0
f(x)dx.
If f is odd then
_
L
L
f(x)dx = 0.
Using just these basic facts we can gure out some important properties of
the Fourier series we get for odd or even functions.
Example 16.1
Show the following
(a) If f and g are either both even or both odd then fg is even.
(b) If f is odd and g is even then fg is odd.
Solution.
(a) Suppose that both f and g are even. Then (fg)(x) = f(x)g(x) =
f(x)g(x) = (fg)(x). That is, fg is even. Now, suppose that both f and g
are odd. Then (fg)(x) = f(x)g(x) = [f(x)][g(x)] = (fg)(x). That
is, fg is even.
(b) f is odd and g is even. Then (fg)(x) = f(x)g(x) = f(x)g(x) =
(fg)(x). That is, fg is odd
Example 16.2
(a) Find the value of the integral
_
L
L
f(x) sin
_
n
L
x
_
dx when f is even.
(b) Find the value of the integral
_
L
L
f(x) cos
_
n
L
x
_
dx when f is odd.
Solution.
(a) Since the function sin
_
n
L
x
_
is odd and f is even, we have that f(x) sin
_
n
L
x
_
16 FOURIER SINES SERIES AND FOURIER COSINES SERIES 135
is odd so that
_
L
L
f(x) sin
_
n
L
x
_
dx = 0
(b) Since the function cos
_
n
L
x
_
is even and f is odd, we have that f(x) cos
_
n
L
x
_
is odd so that
_
L
L
f(x) cos
_
n
L
x
_
dx = 0
Even and Odd Extensions
Let f : [0, L] R be a piecewise smooth function. We dene the odd
extension of this function on the interval L x L by
f
odd
(x) =
_
_
_
f(x) 0 < x L
f(x) L x < 0.
0, x = 0
This function will be odd on the interval [L, L], and will be equal to f(x)
on the interval [0, L]. We can then further extend this function to the entire
real line by dening it to be 2L periodic. Let f
odd
denote this extension. We
note that f
odd
is an odd function and piecewise smooth so that by Theorem
15.1 it possesses a Fourier series expansion, and from the fact that it is odd
all of the a
n
s are zero. Moreover, in the interval [0, L] we have
f(x) =
n=1
b
n
sin
_
n
L
x
_
. (16.1)
We call (16.1) the Fourier sine series of f.
The coecients b
n
are given by the formula
b
n
=
1
L
_
L
L
f
odd
sin
_
n
L
x
_
dx =
2
L
_
L
0
f
odd
sin
_
n
L
x
_
dx
=
2
L
_
L
0
f(x) sin
_
n
L
x
_
dx
since f
odd
sin
_
n
L
x
_
is an even function.
Likewise, we can dene the even extension of f on the interval L x L
by
f
even
(x) =
_
f(x) 0 x L
f(x) L x 0
136SECOND ORDER LINEAR PARTIAL DIFFERENTIAL EQUATIONS
We can then further extend this function to the entire real line by dening
it to be 2L periodic. Let f
even
denote this extension. Again, we note that
f
even
is equal to the original function f(x) on the interval upon which f(x)
is dened. Since f
even
is piecewise smooth, by Theorem 15.1 it possesses a
Fourier series expansion, and from the fact that it is even all of the b
n
s are
zero. Moreover, in the interval [0, L] we have
f(x) =
a
0
2
+
n=1
a
n
cos
_
n
L
x
_
. (16.2)
We call (16.2) the Fourier cosine series of f. The coecients a
n
are given
by
a
n
=
2
L
_
L
0
f(x) cos
_
n
L
x
_
dx.
Example 16.3
Graph the odd and even extensions of the function f(x) = x, 0 x 1.
Solution.
We have f
odd
(x) = x for 1 x 1. The odd extension of f is shown in
Figure 18.1(a). Likewise,
f
even
(x) =
_
x 0 x 1
x 1 x 0
The even extension is shown in Figure 16.1(b)
Figure 16.1
16 FOURIER SINES SERIES AND FOURIER COSINES SERIES 137
Example 16.4
Find the Fourier sine series of the function
f(x) =
_
x, 0 x
2
x,
2
x
Solution.
We have
b
n
=
2
_
_
2
0
x sin nxdx +
_
2
( x) sin nxdx
_
.
Using integration by parts we nd
_
2
0
x sin nxdx =
_
x
n
cos nx
_
2
0
+
1
n
_
2
0
cos nxdx
=
cos (n/2)
2n
+
1
n
2
[sin nx]
2
0
=
cos (n/2)
2n
+
sin (n/2)
n
2
while
_
2
( x) sin nxdx =
_
( x)
n
cos nx
_
1
n
_
2
cos nxdx
=
cos (n/2)
2n
1
n
2
[sin nx]
2
=
cos (n/2)
2n
+
sin (n/2)
n
2
Thus,
b
n
=
4 sin (n/2)
n
2
,
and the Fourier sine series of f(x) is
f(x) =
n=1
4 sin (n/2)
n
2
sin nx =
n=1
4(1)
2n1
(2n 1)
2
sin (2n 1)x
138SECOND ORDER LINEAR PARTIAL DIFFERENTIAL EQUATIONS
Practice Problems
Exercise 16.1
Give an example of a function that is both even and odd.
Exercise 16.2
Graph the odd and even extensions of the function f(x) = 1, 0 x 1.
Exercise 16.3
Graph the odd and even extensions of the function f(x) = Lx for 0 x
L.
Exercise 16.4
Graph the odd and even extensions of the function f(x) = 1 + x
2
for 0
x L.
Exercise 16.5
Find the Fourier cosine series of the function
f(x) =
_
x, 0 x
2
x,
2
x
Exercise 16.6
Find the Fourier cosine series of f(x) = x on the interval [0, ].
Exercise 16.7
Find the Fourier sine series of f(x) = 1 on the interval [0, ].
Exercise 16.8
Find the Fourier sine series of f(x) = cos x on the interval [0, ].
Exercise 16.9
Find the Fourier cosine series of f(x) = e
2x
on the interval [0, 1].
Exercise 16.10
Consider the function f(x) = x on the interval [0, 2].
(i) Write down the denition of the Fourier sine and cosine series for f,
including formulas for the coecients in terms of f. (Note: you do not need
to compute the coecients by carrying out the integration. Just write down
their formulas in terms of f.)
16 FOURIER SINES SERIES AND FOURIER COSINES SERIES 139
(ii) What is the limit of the Fourier sine series of f on (0, 2) and in what
sense does it converge to its limit?
(iii) What is the limit of the Fourier cosine series of f on (0, 2) and in what
sense does it converge to its limit?
(iv) Plot the even extension of f(x), the odd extension of f(x), the limit of
its Fourier sine series, and the limit of its Fourier cosine series on the interval
[2, 2]. (Dont forget to consider the endpoints 2 and 2.)
140SECOND ORDER LINEAR PARTIAL DIFFERENTIAL EQUATIONS
Sample Exam Questions
Exercise 16.11
For the following functions on the interval 0 < x < L, nd the coecients b
n
of the Fourier sine expansion.
(a) f(x) = sin
_
2
L
x
_
.
(b) f(x) = 1
(c) f(x) = cos
_
L
x
_
.
Exercise 16.12
For the following functions on the interval L < x < L, nd the coecients
a
n
of the Fourier cosine expansion.
(a) f(x) = 5 + cos
_
5
L
x
_
.
(b) f(x) = x
(c)
f(x) =
_
1 0 < x
L
2
0 x >
L
2
Exercise 16.13
Consider a function f(x), dened on 0 x L, which is even (symmetric)
around x =
L
2
. Show that the even coecients (n even) of the Fourier sine
series are zero.
Exercise 16.14
Consider a function f(x), dened on 0 x L, which is odd around x =
L
2
.
Show that the even coecients (n even) of the Fourier cosine series are zero.
Exercise 16.15
The Fourier sine series of f(x) = cos
_
x
L
_
for 0 < x < L is given by
cos
_
x
L
_
=
n=1
b
n
sin
_
nx
L
_
, n N
where
b
1
= 0, b
n
=
2n
(n
2
1)
[1 + (1)
n
].
Using termbyterm integration, nd the Fourier cosine series of sin
_
nx
L
_
.
16 FOURIER SINES SERIES AND FOURIER COSINES SERIES 141
Exercise 16.16
Consider the function
f(x) =
_
1 0 x < 1
2 1 x < 2
(a) Sketch the even extension of f.
(b) Find a
0
in the Fourier series for the even extension of f.
(c) Find a
n
(n = 1, 2, ) in the Fourier series for the even extension of f.
(d) Find b
n
in the Fourier series for the even extension of f.
(e) Write the Fourier series for the even extension of f.
142SECOND ORDER LINEAR PARTIAL DIFFERENTIAL EQUATIONS
17 Separation of Variables for PDEs
Finding analytic solutions to PDEs is essentially impossible. Most of the
PDE techniques involve a mixture of analytic, qualitative and numeric ap
proaches. Of course, there are some easy PDEs too. If you are lucky your
PDE has a solution with separable variables. In this section we discuss the
application of the method of separation of variables in the solution of PDEs.
In developing a solution to a partial dierential equation by separation of
variables, one assumes that it is possible to separate the contributions of
the independent variables into separate functions that each involve only one
independent variable. Thus, the method consists of the following steps
1. Factorize the (unknown) dependent variable of the PDE into a product of
functions, each of the factors being a function of one independent variable.
That is,
u(x, y) = X(x)Y (y).
2. Substitute into the PDE, and divide the resulting equation by X(x)Y (y).
3. Then the problem turns into a set of separated ODEs (one for X(x) and
one for Y (y).)
4. The general solution of the ODEs is found, and boundary initial condi
tions are imposed.
5. u(x, y) is formed by multiplying together X(x) and Y (y).
We illustrate these steps in the next two examples.
Example 17.1
Find all the solutions of the form u(x, t) = X(x)T(t) of the eqaution
u
xx
u
x
= u
t
Solution.
It is very easy to nd the derivatives of a separable function:
u
x
= X
(x)T(t), u
t
= X(x)T
(t) and u
xx
= X
(x)T(t)
this is basically a consequence of the fact that dierentiation with respect
to x sees t as a constant, and vice versa. Now the equation u
xx
u
x
= u
t
becomes
X
(x)T(t) X
(x)T(t) = X(x)T
(t).
17 SEPARATION OF VARIABLES FOR PDES 143
We can separate variables further. Division by X(x)T(t) gives
X
(x) X
(x)
X(x)
=
T
(t)
T(t)
.
The expression on the LHS is a function of x whereas the one on the RHS is
a function on t only. They both have to be constant. That is,
X
(x) X
(x)
X(x)
=
T
(t)
T(t)
= .
Thus, we have the following ODEs:
X
X = 0 and T
= T.
The second equation is easy to solve: T(t) = Ce
t
. The rst equation is
solved via the characteristic equation
2
= 0, whose solutions are
=
1
1 + 4
2
.
If >
1
4
then
X(x) = Ae
1+
1+4
2
x
+ Be
1
1+4
2
x
.
In this case,
u(x, t) = De
1+
1+4
2
x
e
t
+ Ee
1
1+4
2
x
e
t
.
If =
1
4
then
X(x) = Ae
x
2
+ Bxe
x
2
and in this case
u(x, t) = (D + Ex)e
x
2
t
4
.
If <
1
4
then
X(x) = Ae
x
2
cos
_
_
(1 + 4)
2
x
_
+ Be
x
2
sin
_
_
(1 + 4)
2
x
_
.
In this case,
u(x, t) = De
x
2
+t
cos
_
_
(1 + 4)
2
x
_
+ Be
x
2
+t
sin
_
_
(1 + 4)
2
x
_
144SECOND ORDER LINEAR PARTIAL DIFFERENTIAL EQUATIONS
Example 17.2
Solve Laplaces equation using the separation of variables method
u = u
xx
+ u
yy
= 0.
Solution.
We look for a solution of the form u(x, y) = X(x)Y (y). Substituting in the
Laplaces equation, we obtain
X
(y) = 0.
Assuming X(x)Y (y) is nonzero, dividing for X(x)Y (y) and subtracting
Y
(y)
Y (y)
from both sides, we nd:
X
(x)
X(x)
=
Y
(y)
Y (y)
.
The left hand side is a function of x while the right hand side is a function
of y. This says that they must equal to a constant. That is,
X
(x)
X(x)
=
Y
(y)
Y (y)
=
where is a constant. This results in the following two ODEs
X
X = 0 and Y
+ Y = 0.
The solutions of these equations depend on the sign of .
If > 0 then the solutions are given
X(x) =Ae
x
+ Be
x
Y (y) =C cos
y + Dsin
y
where A, B, C, and D are constants. In this case,
u(x, t) =k
1
e
x
cos
y + k
2
e
x
sin
y
+k
3
e
x
cos
y + k
4
e
x
sin
y.
If = 0 then
X(x) =Ax + B
Y (y) =Cy + D
17 SEPARATION OF VARIABLES FOR PDES 145
where A, B, and C are arbitrary constants. In this case,
u(x, y) = k
1
xy + k
2
x + k
3
y + k
4
.
If < 0 then
X(x) =Acos
x + Bsin
x
Y (y) =Ce
y
+ De
y
where A, B, C, and D are arbitrary constants. In this case,
u(x, y) =k
1
cos
xe
y
+ k
2
cos
xe
y
+k
3
sin
xe
y
+ k
4
sin
xe
y
Example 17.3
Solve using the separation of variables method.
yu
x
xu
y
= 0.
Solution.
Substitute u(x, t) = X(x)Y (y) into the given equation we nd
yX
Y xXY
= 0.
This can be separated into
X
xX
=
Y
yY
.
The left hand side is a function of x while the right hand side is a function
of y. This says that they must equal to a constant. That is,
X
xX
=
Y
yY
= .
where is a constant. This results in the following two ODEs
X
xX = 0 and Y
yY = 0.
Solving these equations using the method of separation of variable for ODEs
we nd X(x) = Ae
x
2
2
and Y (y) = Be
y
2
2
. Thus, the general solution is given
by
u(x, y) = Ce
(x
2
+y
2
)
2
146SECOND ORDER LINEAR PARTIAL DIFFERENTIAL EQUATIONS
Practice Problems
Exercise 17.1
Solve using the separation of variables method
u + u = 0
Exercise 17.2
Solve using the separation of variables method
u
t
= ku
xx
.
Exercise 17.3
Derive the system of ordinary dierential equations for X(x) and T(t) that
is satised by solutions to
u
rr
+
1
r
u
r
+
1
r
2
u
= 0.
Exercise 17.4
Derive the system of ordinary dierential equations and boundary conditions
for X(x) and T(t) that is satised by solutions to
u
tt
= u
xx
2u, 0 < x < 1, t > 0
u(0, t) = 0 = u
x
(1, t) t > 0
of the form u(x, t) = X(x)T(t). (Note: you do not need to solve for X and
T.)
Exercise 17.5
Derive the system of ordinary dierential equations and boundary conditions
for X(x) and T(t) that is satised by solutions to
u
t
= ku
xx
, 0 < x < L, t > 0
u(x, 0) = f(x), u(0, t) = 0 = u
x
(L, t) t > 0
of the form u(x, t) = X(x)T(t). (Note: you do not need to solve for X and
T.)
Exercise 17.6
Find all product solutions of the PDE u
x
+ u
t
= 0.
17 SEPARATION OF VARIABLES FOR PDES 147
Exercise 17.7
Derive the system of ordinary dierential equations for X(x) and Y (y) that
is satised by solutions to
3u
yy
5u
xxxy
+ 7u
xxy
= 0.
of the form u(x, y) = X(x)Y (y).
Exercise 17.8
Find the general solution by the method of separation of variables.
u
xy
+ u = 0.
Exercise 17.9
Find the general solution by the method of separation of variables.
u
x
yu
y
= 0.
148SECOND ORDER LINEAR PARTIAL DIFFERENTIAL EQUATIONS
Sample Exam Questions
Exercise 17.10
Find the general solution by the method of separation of variables.
u
tt
u
xx
= 0.
Exercise 17.11
For the following PDEs nd the ODEs implied by the method of separation
of variables.
(a) u
t
= kr(ru
r
)
r
(b) u
t
= ku
xx
u
(c) u
t
= ku
xx
au
x
(d) u
xx
+ u
yy
= 0
(e) u
t
= ku
xxxx
.
Exercise 17.12
Find all solutions to the following partial dierential equation that can be
obtained via the separation of variables.
u
x
u
y
= 0.
Exercise 17.13
Separate the PDE u
xx
u
y
+u
yy
= u into two ODEs with a parameter. You
do not need to solve the ODEs.
18 SOLUTIONS OF THE HEAT EQUATIONBYTHE SEPARATIONOF VARIABLES METHOD149
18 Solutions of the Heat Equation by the Sep
aration of Variables Method
In this section we apply the method of separation of variables in solving the
one spatial dimension of the heat equation.
The Heat Equation with Dirichlet Boundary Conditions
Consider the problem of nding all nontrivial solutions to the heat equation
u
t
= ku
xx
that satises the initial time condition u(x, 0) = f(x) and the
Dirichlet boundary conditions u(0, t) = T
0
and u(L, t) = T
L
.
From Exercise 14.4, it suces to solve the problem with the Dirichlet bound
ary conditions being replaced by the homogeneous boundary conditions u(0, t) =
u(L, t) = 0 (that is, the endpoints are assumed to be at zero temperature)
with u not the trivial solution. Lets assume that the solution can be writ
ten in the form u(x, t) = X(x)T(t). Substituting into the heat equation we
obtain
X
X
=
T
kT
.
Since the LHS only depends on x and the RHS only depends on t, then there
must be a constant such that
X
X
= and
T
kT
= .
This gives the two ordinary dierential equations
X
X = 0 and T
kT = 0.
As far as the boundary conditions, we have
u(0, t) = 0 = X(0)T(t) =X(0) = 0
and
u(L, t) = 0 = X(L)T(t) =X(L) = 0.
Note that T is not the zero function for otherwise u 0 and this contradicts
our assumption that u is the nontrivial solution.
Next, we consider the three cases of the sign of .
150SECOND ORDER LINEAR PARTIAL DIFFERENTIAL EQUATIONS
Case 1: = 0
In this case, X
x
+Be
x
. Again, the conditions X(0) = X(L) =
0 imply A = B = 0 and hence the solution is the trivial solution.
Case 3: < 0
In this case, X(x) = Acos
x + Bsin
L = 0. We must
have B = 0 otherwise X(x) = 0 and this leads to the trivial solution. Since
B = 0, we obtain sin
L = 0 or
2
L
2
. Thus, we obtain innitely many solutions given by
X
n
(x) = A
n
sin
n
L
x, n N.
Now, solving the equation
T
kT = 0
by the method of separation of variables we obtain
T
n
(t) = B
n
e
n
2
2
L
2
kt
, n N.
Hence, the functions
u
n
(x, t) = C
n
sin
_
n
L
x
_
e
n
2
2
L
2
kt
, n N
satisfy u
t
= ku
xx
and the boundary conditions u(0, t) = u(L, t) = 0.
Now, in order for these solutions to satisfy the initial value condition u(x, 0) =
f(x), we invoke the superposition principle of linear PDE to write
u(x, t) =
n=1
C
n
sin
_
n
L
x
_
e
n
2
2
L
2
kt
. (18.1)
To determine the unknown constants C
n
we use the initial condition u(x, 0) =
f(x) in (18.1) to obtain
f(x) =
n=1
C
n
sin
_
n
L
x
_
.
18 SOLUTIONS OF THE HEAT EQUATIONBYTHE SEPARATIONOF VARIABLES METHOD151
Since the righthand side is the Fourier sine series of f on the interval [0, L],
the coecients C
n
are given by
C
n
=
2
L
_
L
0
f(x) sin
_
n
L
x
_
dx. (18.2)
Thus, the solution to the heat equation is given by (18.1) with the C
n
s
calculated from (18.2).
Remark 18.1
According to Exercise 14.4, the solution to the heat equation with non
homogeneous condition u(0, t) = T
0
and u(L, t) = T
L
is given by
u(x, t) =
n=1
C
n
sin
_
n
L
x
_
e
n
2
2
L
2
kt
+ T
0
+
T
L
T
0
L
x.
The Heat Equation with Neumann Boundary Conditions
When both ends of the bar are insulated, that is, there is no heat ow out
of them, we use the boundary conditions
u
x
(0, t) = u
x
(L, t) = 0.
In this case, the general form of the heat equation initial boundary value
problem is to nd u(x, t) satisfying
u
t
(x, t) =ku
xx
(x, t), 0 x L, t > 0
u(x, 0) =f(x), 0 x L
u
x
(0, t) =u
x
(L, t) = 0, t > 0.
Since 0 = u
x
(0, t) = X
(0)T(t) we obtain X
(0) = 0. Likewise, 0 = u
x
(L, t) =
X
(L)T(t) implis X
x +
Bsin
x with respect to x we nd
X
(x) =
Asin
x +
Bcos
x.
The conditions X
(0) = X
(L) = 0 imply
B = 0 and
Asin
L =
0. Hence, B = 0 and =
n
2
2
L
2
and
X
n
(x) = A
n
cos
_
n
L
x
_
, n = 0, 1, 2,
152SECOND ORDER LINEAR PARTIAL DIFFERENTIAL EQUATIONS
and
u
n
(x, t) = C
n
cos
_
n
L
x
_
e
n
2
2
L
2
kt
.
By the superposition principle, the required solution to the heat equation
with Neumann boundary conditions is given by
u(x, t) =
n=0
C
n
cos
_
n
L
x
_
e
n
2
2
L
2
kt
where
C
0
=
1
L
_
L
0
f(x)dx
C
n
=
2
L
_
L
0
f(x) cos
_
n
L
x
_
dx, n N.
18 SOLUTIONS OF THE HEAT EQUATIONBYTHE SEPARATIONOF VARIABLES METHOD153
Practice Problems
Exercise 18.1
Find the temperature in a bar of length 2 whose ends are kept at zero
and lateral surface insulated if the initial temperature is f(x) = sin
_
2
x
_
+
3 sin
_
5
2
x
_
.
Exercise 18.2
Find the temperature in a homogeneous bar of heat conducting material of
length L with its end points kept at zero and initial temperature distribution
given by f(x) =
dx
L
2
(L x).
Exercise 18.3
Find the temperature in a thin metal rod of length L, with both ends insu
lated (so that there is no passage of heat through the ends) and with initial
temperature in the rod f(x) = sin
_
L
x
_
.
Exercise 18.4
Solve the following heat equation with Dirichlet boundary conditions
u
t
= ku
xx
u(0, t) = u(L, t) = 0
u(x, 0) =
_
1 0 < x <
L
2
2
L
2
x < L
Exercise 18.5
Solve
u
t
= ku
xx
u(0, t) = u(L, t) = 0
u(x, 0) = 6 sin
_
9
L
x
_
.
Exercise 18.6
Solve
u
t
= ku
xx
subject to
u
x
(0, t) = u
x
(L, t) = 0
u(x, 0) =
_
0 0 < x <
L
2
1
L
2
x < L
154SECOND ORDER LINEAR PARTIAL DIFFERENTIAL EQUATIONS
Exercise 18.7
Solve
u
t
= ku
xx
subject to
u
x
(0, t) = u
x
(L, t) = 0
u(x, 0) = 6 + 4 cos
_
3
L
x
_
.
Exercise 18.8
Solve
u
t
= ku
xx
subject to
u
x
(0, t) = u
x
(L, t) = 0
u(x, 0) = 3 cos
_
8
L
x
_
.
Exercise 18.9
Find the general solution of the following equation and briey describe its
limit as t .
u
t
= u
xx
, 0 < x < L, t R
u
x
(0, t) = 0 = u(L, t), t R.
Exercise 18.10
Find the general solution u(x, t) of
u
t
= u
xx
u, 0 < x < L, t > 0
u
x
(0, t) = 0 = u
x
(L, t), t > 0.
Briey describe its behavior as t .
18 SOLUTIONS OF THE HEAT EQUATIONBYTHE SEPARATIONOF VARIABLES METHOD155
Sample Exam Questions
Exercise 18.11 (Energy method)
Let u
1
and u
2
be two solutions to the Robin boundary value problem
u
t
= u
xx
u, 0 < x < 1, t > 0
u
x
(0, t) = u
x
(1, t) = 0, t > 0
u(x, 0) = g(x), 0 < x < 1
Dene w(x, t) = u
1
(x, t) u
2
(x, t).
(a) Show that w satises the initial value problem
w
t
= w
xx
w, 0 < x < 1, t > 0
w(x, 0) = 0, 0 < x < 1
(b) Dene E(t) =
_
1
0
w
2
(x, t)dx 0 for all t 0. Show that E
(t) 0.
Hence, 0 E(t) E(0) for all t > 0.
(c) Show that E(t) = 0, w(x, t) = 0. Hence, conclude that u
1
= u
2
.
Exercise 18.12
Consider the heat induction in a bar where the left end temperature is main
tained at 0, and the right end is perfectly insulated. We assume k = 1 and
L = 1.
(a) Derive the boundary conditions of the temperature at the endpoints.
(b) Following the separation of variables approach, derive the ODEs for X
and T.
(c) Consider the equation in X(x). What are the values of X(0) and X(1)?
Show that solutions of the form X(x) = sin
(y) = 0.
Assuming X(x)Y (y) is nonzero, dividing for X(x)Y (y) and subtracting
Y
(y)
Y (y)
from both sides, we nd:
X
(x)
X(x)
=
Y
(y)
Y (y)
.
The left hand side is a function of x while the right hand side is a function
of y. This says that they must equal to a constant. That is,
X
(x)
X(x)
=
Y
(y)
Y (y)
=
where is a constant. This results in the following two ODEs
X
X = 0 and Y
+ Y = 0.
As far as the boundary conditions, we have for all 0 x a and 0 y b
u(0, y) = 0 = X(0)Y (y) =X(0) = 0
u(a, y) = 0 = X(a)Y (y) =X(a) = 0
u(x, 0) = 0 = X(x)Y (0) =Y (0) = 0
u(x, b) = g
2
(x) = X(x)Y (b).
160SECOND ORDER LINEAR PARTIAL DIFFERENTIAL EQUATIONS
Note that X and Y are not the zero functions for otherwise u 0 and this
contradicts our assumption that u is the nontrivial solution.
Consider the rst equation: since X
x
+ Be
x
. Now, the conditions X(0) = X(a) = 0, = 0
imply A = B = 0 and hence the solution is the trivial solution. Hence, in
order to have a nontrivial solution we must have < 0. In this case,
X(x) = Acos
x + Bsin
x.
The condition X(0) = 0 implies A = 0. The condition X(a) = 0 implies
Bsin
a = 0 or
a = n
where n N. Solving for we nd
n
=
n
2
2
a
2
. Thus, we obtain innitely
many solutions given by
X
n
(x) = sin
n
a
x, n N.
Now, solving the equation
Y
+ Y = 0
we obtain
Y
n
(y) = a
n
e
ny
+ b
n
e
ny
= A
n
cosh
_
n
y + B
n
sinh
_
n
y, n N.
Using the boundary condition Y (0) = 0 we obtain A
n
= 0 for all n N.
Hence, the functions
u
n
(x, y) = B
n
sin
_
n
a
x
_
sinh
_
n
a
y
_
, n N
satisfy (19.1) and the boundary conditions u(0, y) = u(a, y) = u(x, 0) = 0.
Now, in order for these solutions to satisfy the boundary value condition
u(x, b) = g
2
(x), we invoke the superposition principle of linear PDE to write
u(x, y) =
n=1
B
n
sin
_
n
a
x
_
sinh
_
n
a
y
_
. (19.2)
To determine the unknown constants B
n
we use the boundary condition
u(x, b) = g
2
(x) in (19.2) to obtain
g
2
(x) =
n=1
_
B
n
sinh
_
n
a
b
__
sin
_
n
a
x
_
.
19 ELLIPTIC TYPE: LAPLACES EQUATIONS INRECTANGULAR DOMAINS161
Since the righthand side is the Fourier sine series of f on the interval [0, a],
the coecients B
n
are given by
B
n
=
_
2
a
_
a
0
g
2
(x) sin
_
n
a
x
_
dx
_
[sinh
_
n
a
b
_
]
1
. (19.3)
Thus, the solution to the Laplaces equation is given by (19.1) with the B
n
s
calculated from (19.3).
Example 19.2
Solve
_
_
_
u
xx
+ u
yy
= 0
u(0, y) = f
1
(y),
u(a, y) = u(x, 0) = u(x, b) = 0
Solution.
Assume that the solution can be written in the form u(x, y) = X(x)Y (y).
Substituting in (19.1), we obtain
X
(y) = 0.
Assuming X(x)Y (y) is nonzero, dividing for X(x)Y (y) and subtracting
Y
(y)
Y (y)
from both sides, we nd:
X
(x)
X(x)
=
Y
(y)
Y (y)
.
The left hand side is a function of x while the right hand side is a function
of y. This says that they must equal to a constant. That is,
X
(x)
X(x)
=
Y
(y)
Y (y)
=
where is a constant. This results in the following two ODEs
X
X = 0 and Y
+ Y = 0.
As far as the boundary conditions, we have for all 0 x a and 0 y b
u(0, y) = f
1
(y) = X(0)Y (y)
u(a, y) = 0 = X(a)Y (y) =X(a) = 0
162SECOND ORDER LINEAR PARTIAL DIFFERENTIAL EQUATIONS
u(x, 0) = 0 = X(x)Y (0) =Y (0) = 0
u(x, b) = 0 = X(x)Y (b) =Y (b) = 0
Note that X and Y are not the zero functions for otherwise u 0 and this
contradicts our assumption that u is the nontrivial solution.
Consider the second equation: since Y
y
+ Be
y
. Now, the condition Y (0) = Y (b) = 0 imply
A = B = 0 and hence the solution is the trivial solution. Hence, in order to
have a nontrivial solution we must have > 0. In this case,
Y (y) = Acos
y + Bsin
y.
The condition Y (0) = 0 implies A = 0. The condition Y (b) = 0 implies
Bsin
b = 0 or
b = n where
n N. Solving for we nd
n
=
n
2
2
b
2
. Thus, we obtain innitely many
solutions given by
Y
n
(y) = sin
_
n
b
y
_
, n N.
Now, solving the equation
X
X = 0, > 0
we obtain
X
n
(x) = a
n
e
nx
+ b
n
e
nx
= A
n
cosh
_
n
b
x
_
+ B
n
sinh
_
n
b
x
_
, n N.
However, this is not really suited for dealing with the boundary condition
X(a) = 0. So, lets also notice that the following is also a solution.
X
n
(x) = A
n
cosh
_
n
b
(x a)
_
+ B
n
sinh
_
n
b
(x a)
_
, n N.
Now, using the boundary condition X(a) = 0 we obtain A
n
= 0 for all n N.
Hence, the functions
u
n
(x, y) = B
n
sin
_
n
b
y
_
sinh
_
n
b
(x a)
_
, n N
19 ELLIPTIC TYPE: LAPLACES EQUATIONS INRECTANGULAR DOMAINS163
satisfy (19.1) and the boundary conditions u(a, y) = u(x, 0) = u(x, b) = 0.
Now, in order for these solutions to satisfy the boundary value condition
u(0, y) = f
1
(y), we invoke the superposition principle of linear PDE to write
u(x, y) =
n=1
B
n
sin
_
n
b
y
_
sinh
_
n
b
(x a)
_
. (19.4)
To determine the unknown constants B
n
we use the boundary condition
u(0, y) = f
1
(y) in (19.4) to obtain
f
1
(y) =
n=1
_
B
n
sinh
_
n
b
a
__
sin
_
n
b
y
_
.
Since the righthand side is the Fourier sine series of f
1
on the interval [0, b],
the coecients B
n
are given by
B
n
=
_
2
b
_
b
0
f
1
(y) sin
_
n
b
y
_
dy
_
_
sinh
_
n
b
a
__
1
. (19.5)
Thus, the solution to the Laplaces equation is given by (19.4) with the B
n
s
calculated from (19.5)
Example 19.3
Solve
u
xx
+ u
yy
= 0, 0 < x < L, 0 < y < H
u(0, y) = u(L, y) = 0, 0 < g < H
u(x, 0) = u
y
(x, 0), u(x, H) = f(x), 0 < x < L.
Solution.
Using separation of variables we nd
X
X
=
Y
Y
= .
We rst solve
_
X
X = 0 0 < x < L
X(0) = X(L) = 0
We nd
n
=
n
2
2
L
2
and
X
n
(x) = sin
n
L
x, n N.
164SECOND ORDER LINEAR PARTIAL DIFFERENTIAL EQUATIONS
Next we need to solve
_
Y
+ Y = 0 0 < y < H
Y (0) Y
(0) = 0
The solution of the ODE is
Y
n
(y) = A
n
cosh
_
n
L
y
_
+ B
n
sinh
_
n
L
y
_
y, n N.
The boundary condition Y (0) Y
(0) = 0 implies
A
n
B
n
n
L
= 0.
Hence,
Y
n
= B
n
n
L
cosh
_
n
L
y
_
+ B
n
sinh
_
n
L
y
_
y, n N.
Using the superposition principle and the results above we have
u(x, y) =
n=1
B
n
sin
n
L
x
_
n
L
cosh
_
n
L
y
_
+ sinh
_
n
L
y
__
.
Substituting in the condition u(x, H) = f(x) we nd
f(x) =
n=1
B
n
sin
n
L
x
_
n
L
cosh
_
n
L
H
_
+ sinh
_
n
L
H
__
.
Recall the Fourier sine series of f on [0, L] given by
f(x) =
n=1
A
n
sin
n
L
x
where
A
n
=
2
L
_
L
0
f(x) sin
_
n
L
x
_
dx.
Thus, the general solution is given by
u(x, y) =
n=1
B
n
sin
n
L
x
_
n
L
cosh
_
n
L
y
_
+ sinh
_
n
L
y
__
.
with the B
n
satisfying
B
n
_
n
L
cosh
_
n
L
H
_
+ sinh
_
n
L
H
__
=
2
L
_
L
0
f(x) sin
_
n
L
x
_
dx
19 ELLIPTIC TYPE: LAPLACES EQUATIONS INRECTANGULAR DOMAINS165
Practice Problems
Exercise 19.1
Solve
_
_
_
u
xx
+ u
yy
= 0
u(a, y) = f
2
(y),
u(0, y) = u(x, 0) = u(x, b) = 0
Exercise 19.2
Solve
_
_
_
u
xx
+ u
yy
= 0
u(x, 0) = g
1
(x),
u(0, y) = u(a, y) = u(x, b) = 0
Exercise 19.3
Solve
_
_
_
u
xx
+ u
yy
= 0
u(x, 0) = u(0, y) = 0,
u(1, y) = 2y, u(x, 1) = 3 sin x + 2x
where 0 x 1 and 0 y 1. Hint: Dene U(x, y) = u(x, y) 2xy.
Exercise 19.4
Show that u(x, y) = x
2
y
2
and u(x, y) = 2xy are harmonic functions.
Exercise 19.5
Solve
u
xx
+ u
yy
= 0, 0 x L,
H
2
y
H
2
subject to
u(0, y) = u(L, y) = 0,
H
2
< y <
H
2
u(x,
H
2
) = f
1
(x), u(x,
H
2
) = f
2
(x), 0 x L.
Exercise 19.6
Consider a complex valued function f(z) = u(x, y)+iv(x, y) where i =
1.
We say that f is holomorphic or analytic if and only if f can be expressed
as a power series in z, i.e.
u(x, y) + iv(x, y) =
n=0
a
n
z
n
.
(a) By dierentiating with respect to x and y show that
166SECOND ORDER LINEAR PARTIAL DIFFERENTIAL EQUATIONS
u
x
= v
y
and u
y
= v
x
These are known as the CauchyRiemann equations.
(b) Show that u = 0 and v = 0.
Exercise 19.7
Show that Laplaces equation in polar coordinates is given by
u
rr
+
1
r
u
r
+
1
r
2
u
= 0.
Exercise 19.8
Solve
u
xx
+ u
yy
= 0, 0 x 2, 0 y 3
subject to
u(x, 0) = 0, u(x, 3) =
x
2
u(0, y) = sin
_
4
3
y
_
, u(2, y) = 7.
Exercise 19.9
Solve
u
xx
+ u
yy
= 0, 0 x L, 0 y H
subject to
u
y
(x, 0) = 0, u(x, H) = 0
u(0, y) = u(L, y) = 4 cos
_
y
2H
_
.
Exercise 19.10
Solve
u
xx
+ u
yy
= 0, x > 0, 0 y H
subject to
u(0, y) = f(y), u(x, 0) <
u
y
(x, 0) = u
y
(x, H) = 0.
19 ELLIPTIC TYPE: LAPLACES EQUATIONS INRECTANGULAR DOMAINS167
Sample Exam Questions
Exercise 19.11
Consider Laplaces equation inside a rectangle
u
xx
+ u
yy
= 0, 0 x L, 0 y H
subject to the boundary conditions
u(0, y) = 0, u(L, y) = 0, u(x, 0)u
y
(x, 0) = 0, u(x, H) = 20 sin
_
x
L
_
5 sin
_
3x
L
_
.
Find the solution u(x, y).
Exercise 19.12
Solve Laplacee equation u
xx
+ u
yy
= 0 in the rectangle 0 < x, y < 1 subject
to the conditions
u(0, y) = u(1, y) = 0, 0 < y < 1
u(x, 0) = sin (2x), u
x
(x, 0) = 2 sin (2x), 0 < x < 1.
Exercise 19.13
Find the solution to Laplaces equation on the rectangle 0 < x < 1, 0 < y < 1
with boundary conditions
u(x, 0) = 0, u(x, 1) = 1
u
x
(0, y) = u
x
(1, y) = 0.
Exercise 19.14
Solve Laplaces equation on the rectangle 0 < x < a, 0 < y < b with the
boundary conditions
u
x
(0, y) = a, u
x
(a, y) = 0
u
y
(x, 0) = b, u
y
(x, b) = 0.
Exercise 19.15
Solve Laplaces equation on the rectangle 0 < x < , 0 < y < 2 with the
boundary conditions
u(0, y) = u(, y) = 0
u
y
(x, 0) = 0, u
y
(x, 2) = 2 sin 3x 5 sin 10x.
168SECOND ORDER LINEAR PARTIAL DIFFERENTIAL EQUATIONS
20 Laplaces Equations in Circular Regions
In the previous section we solved the Dirichlet problem for Laplaces equation
on a rectangular region. However, if the domain of the solution is a disc,
an annulus, or a circular wedge, it is useful to study the twodimensional
Laplaces equation in polar coordinates.
It is well known in calculus that the cartesian coordinates (x, y) and the polar
coordinates (r, ) of a point are related by the formulas
x = r cos and y = r sin
where r = (x
2
+ y
2
)
1
2
and tan =
y
x
. Using the chain rule we obtain
u
x
=u
r
r
x
+ u
x
= cos u
r
sin
r
u
u
xx
=u
xr
r
x
+ u
x
x
=
_
cos u
rr
+
sin
r
2
u
sin
r
u
r
_
cos
+
_
sin u
r
+ cos u
r
cos
r
u
sin
r
u
__
sin
r
_
u
y
=u
r
r
y
+ u
y
= sin u
r
+
cos
r
u
u
yy
=u
yr
r
y
+ u
y
y
=
_
sin u
rr
cos
r
2
u
+
cos
r
u
r
_
sin
+
_
cos u
r
+ sin u
r
sin
r
u
+
cos
r
u
__
cos
r
_
Substituting these equations into u = 0 we obtain
u
rr
+
1
r
u
r
+
1
r
2
u
= 0. (20.1)
Example 20.1
Find the solution to
u = 0, x
2
+ y
2
< a
2
subject to
u(x, y) = f(), x
2
+ y
2
= a
2
.
20 LAPLACES EQUATIONS IN CIRCULAR REGIONS 169
Solution.
Two important facts that play an important role in the solution of the prob
lem must be taken into consideration, namely:
(1) u(r, ) must be bounded at r = 0.
(2) u(r, + 2) = u(r, ), that is, u is periodic of period 2.
Now, we will apply the method of separation of variables to (21.1). Suppose
that a solution u(r, ) of (21.1) can be written in the form u(r, ) = R(r)().
Substituting in (21.1) we obtain
R
(r)() +
1
r
R
(r)() +
1
r
2
R(r)
() = 0
Dividing by R (under the assumption that R = 0) we obtian
()
()
= r
2
R
(r)
R(r)
r
R
(r)
R(r)
.
The lefthand side is independent of r whereas the righthand side is inde
pendent of so that there is a constant such that
()
()
= r
2
R
(r)
R(r)
+ r
R
(r)
R(r)
= .
This results in the following ODEs
() + () = 0 (20.2)
and
r
2
R
(r) + rR
(0) =
n
() = A
n
cos n + B
n
sin n, n = 0, 1, 2
170SECOND ORDER LINEAR PARTIAL DIFFERENTIAL EQUATIONS
The equation in R is of Euler type and its solution must be of the form
R(r) = r
. Since = n
2
, the corresponding characteristic equation is
( 1)r
+ r
n
2
r
= 0.
Solving this equation we nd = n. Hence, we let
R
n
(r) = C
n
r
n
+ D
n
r
n
, n N.
For n = 0, R = 1 is a solution. To nd a second solution, we solve the
equation
r
2
R
+ rR
= 0.
This can be done by dividing through by r and using the substitution S = R
to obtain rS
we nd S =
c
r
. Hence, R
=
c
r
and this implies R(r) = C ln r. Thus,
R = 1 and R = ln r form a couple of linearly independent solutions of (20.3)
and so a general solution is given by
R
0
(r) = C
0
+ D
0
ln r.
By assumption (1), u(r, ) must be bounded at r = 0, and so does R
n
. Since
r
n
and ln r are unbounded at r = 0, we must set D
0
= D
n
= 0. In this case,
the solutions to Eulers equation are given by
R
n
(r) = C
n
r
n
, n = 0, 1, 2, .
Using the superposition principle, and combining the results obtained above,
we nd
u(r, ) = C
0
+
n=1
r
n
(A
n
cos n + B
n
sin n).
Now, using the boundary condition u(a, ) = f() we can write
f() = C
0
+
n=1
(a
n
A
n
cos n + a
n
B
n
sin n)
which is usually written in a more convenient equivalent form by
f() =
a
0
2
+
n=1
(a
n
cos n + b
n
sin n).
20 LAPLACES EQUATIONS IN CIRCULAR REGIONS 171
It is obvious that a
n
and b
n
are the Fourier coecients, and therefore can be
determined by the formulas
a
n
=
1
_
2
0
f() cos nd, n = 0, 1,
and
b
n
=
1
_
2
0
f() sin nd, n = 1, 2, .
Finally, the general solution to our problem is given by
u(r, ) = C
0
+
n=1
r
n
(A
n
cos n + B
n
sin n)
where
C
0
=
a
0
2
=
1
2
_
2
0
f()d
A
n
=
a
n
a
n
=
1
a
n
_
2
0
f() cos nd, n = 1, 2,
B
n
=
b
n
a
n
=
1
a
n
_
2
0
f() sin nd, n = 1, 2,
Example 20.2
Solve
u = 0, 0 < 2, 1 r 2
subject to
u(1, ) = u(2, ) = sin , 0 < 2.
Solution.
Use separation of variables. First, solving for ()), we see that in order
to ensure that the solution is 2periodic in , the eigenvalues are = n
2
.
When solving the equation for R(r), we do NOT need to throw out solutions
which are not bounded as r 0. This is because we are working in the
annulus where r is bounded away from 0 and . Therefore, we obtain the
general solution
u(r, ) = (C
0
+C
1
ln r) +
n=1
[(C
n
r
n
+D
n
r
n
) cos n +(A
n
r
n
+B
n
r
n
) sin n].
172SECOND ORDER LINEAR PARTIAL DIFFERENTIAL EQUATIONS
But
C
0
+
n=1
n=1
[(C
n
+ D
n
) cos n + (A
n
+ B
n
) sin n] = sin
and
C
0
+
n=1
n=1
[(C
n
2
n
+ D
n
2
n
) cos n + (A
n
2
n
+ B
n
2
n
) sin n] = sin
Hence, comparing coecients we must have
C
0
=0
C
n
+ D
n
=0
A
n
+ B
n
=0 n = 1
A
1
+ B
1
=1
C
n
2
n
+ D
n
2
n
=0
A
n
2
n
+ B
n
2
n
=0 n = 1
2A
1
+ 2
1
B
1
=0
Solving these equations we nd C
0
= C
n
= D
n
= 0, A
1
=
1
3
, B
1
=
2
3
, and
A
n
= B
n
= 0 for n = 1. Hence, the solution to the problem is
u(r, ) =
1
3
_
r +
2
r
_
sin
Example 20.3
Solve Laplaces equation inside a 60
(r, ) = 0, u
(r,
3
) = 0, u(a, ) =
1
3
cos 9
1
9
cos 3.
You may assume that the solution remains bounded as r 0.
Solution.
Separating the variables we obtain the eigenvalue problem
() + () = 0
(0) =
3
_
= 0.
20 LAPLACES EQUATIONS IN CIRCULAR REGIONS 173
As above, because of periodicity we expect the solution to be of the form
() = Acos
+ Bsin
.
The condition
3
_
= 0 implies
n
= (3n)
2
, n = 0, 1, 2, . Thus, the angular solution is
n
() = cos 3n, n = 0, 1, 2,
The corresponding solutions of the radial problem are
R
n
(r) = A
n
r
3n
+ B
n
r
3
n
, n = 0, 1, .
To obtain a solution that remains bounded as r 0 we take B
n
= 0. Hence,
u
n
(r, ) =
n=0
C
n
r
3n
cos 3n, n = 0, 1, 2,
Using the boundary condition
u(a, ) =
1
3
cos 9
1
9
cos 3
we obtain C
1
a
3
=
1
9
and C
3
a
9
=
1
3
and 0 otherwise. Thus,
u(a, ) =
1
3
_
r
a
_
9
cos 9
1
9
_
r
a
_
3
cos 3
174SECOND ORDER LINEAR PARTIAL DIFFERENTIAL EQUATIONS
Practice Problems
Exercise 20.1
Solve the Laplaces equation in the unit disk with u(1, ) = 3 sin 5.
Exercise 20.2
Solve the Laplaces equation in the upper half of the unit disk with u(1, ) =
.
Exercise 20.3
Solve the Laplaces equation in the unit disk with u
r
(1, ) = 2 cos 2.
Exercise 20.4
Consider
u(r, ) = C
0
+
n=1
r
n
(A
n
cos n + B
n
sin n)
with
C
0
=
a
0
2
=
1
2
_
2
0
f()d
A
n
=
a
n
a
n
=
1
a
n
_
2
0
f() cos nd, n = 1, 2,
B
n
=
b
n
a
n
=
1
a
n
_
2
0
f() sin nd, n = 1, 2,
Using the trigonometric identity
cos a cos b + sin a sin b = cos (a b)
show that
u(r, ) =
1
2
_
2
0
f()
_
1 + 2
n=1
_
r
a
_
n
cos n( )
_
d.
Exercise 20.5
(a) Using Eulers formula from complex analysis e
it
= cos t +i sin t show that
cos t =
1
2
(e
it
+ e
it
),
20 LAPLACES EQUATIONS IN CIRCULAR REGIONS 175
where i =
1.
(b) Show that
1 + 2
n=1
_
r
a
_
n
cos n( ) = 1 +
n=1
_
r
a
_
n
e
in()
+
n=1
_
r
a
_
n
e
in()
.
(c) Let q
1
=
r
a
e
i()
and q
2
=
r
a
e
i()
. It is dened in complex analysis that
the absolute value of a complex number z = x+iy is given by z = (x
2
+y
2
)
1
2
.
Using these concepts, show that q
1
 < 1 and q
2
 < 1.
Exercise 20.6
(a)Show that
n=1
_
r
a
_
n
e
in()
=
re
i()
a re
i()
and
n=1
_
r
a
_
n
e
in()
=
re
i()
a re
i()
Hint: Each sum is a geoemtric series with a ratio less than 1 in absolute
value so that these series converges.
(b) Show that
1 + 2
n=1
_
r
a
_
n
cos n( ) =
a
2
r
2
a
2
2ar cos ( ) + r
2
.
Exercise 20.7
Show that
u(r, ) =
a
2
r
2
2
_
2
0
f()
a
2
2ar cos ( ) + r
2
d.
This is known as the Poisson formula in polar coordinates.
Exercise 20.8
Solve
u
xx
+ u
yy
= 0, x
2
+ y
2
< 1
subject to
u(1, ) = , .
176SECOND ORDER LINEAR PARTIAL DIFFERENTIAL EQUATIONS
Exercise 20.9
The vibrations of a symmetric circular membrane where the displacement
u(r, t) depends on r and t only can be describe by the onedimensional wave
equation in polar coordinates
u
tt
= c
2
(u
rr
+
1
r
u
r
), 0 < r < a, t > 0
with initial condition
u(a, t) = 0, t > 0
and boundary conditions
u(r, 0) = f(r), u
t
(r, 0) = g(r), 0 < r < a.
(a) Show that the assumption u(r, t) = R(r)T(t) leads to the equation
1
c
2
T
T
=
1
R
R
+
1
r
R
R
= .
(b) Show that < 0.
Exercise 20.10
Cartesian coordinates and cylindrical coordinates are shown in Figure 22.1
below.
Figure 22.1
20 LAPLACES EQUATIONS IN CIRCULAR REGIONS 177
(a) Show that x = r cos , y = r sin , z = z.
(b) Show that
u
xx
+ u
yy
+ u
zz
= u
rr
+
1
r
u
r
+
1
r
2
u
+ u
zz
.
178SECOND ORDER LINEAR PARTIAL DIFFERENTIAL EQUATIONS
Sample Exam Questions
Exercise 20.11
An important result about harmonic functions is the socalled the maximum
principle which states: Any harmonic function u(x, y) dened in a domain
satises the inequality
min
(x,y)
u(x, y) u(x, y) max
(x,y)
u(x, y), (x, y)
where denotes the boundary of .
Let u be harmonic in = {(x, y) : x
2
+y
2
< 1} and satises u(x, y) = 2 x
for all (x, y) . Show that u(x, y) > 0 for all (x, y) .
Exercise 20.12
Let u be harmonic in = {(x, y) : x
2
+y
2
< 1} and satises u(x, y) = 1+3x
for all (x, y) . Determine
(i) max
(x,y)
u(x, y)
(ii) min
(x,y)
u(x, y)
without solving u = 0.
Exercise 20.13
Let u
1
(x, y) and u
2
(x, y) be harmonic functions on a smooth domain such
that
u
1

= g
1
(x, y) and u
2

= g
3
(x, y)
where g
1
and g
2
are continuous functions satisfying
max
(x,y)
g
1
(x, y) < min
(x,y)
g
1
(x, y).
Prove that u
1
(x, y) < u
2
(x, y) for all (x, y) .
Exercise 20.14
Show that r
n
cos (n) and r
n
sin (n) satisfy Laplaces equation in polar co
ordinates.
Exercise 20.15
Solve the Dirichlet problem
u = 0, 0 r < a,
u(a, ) = sin
2
.
20 LAPLACES EQUATIONS IN CIRCULAR REGIONS 179
Exercise 20.16
Solve Laplaces equation
u
xx
+ u
yy
= 0
outside a circular disk (r a) subject to the boundary condition
u(a, ) = ln 2 + 4 cos 3.
You may assume that the solution remains bounded as r .
180SECOND ORDER LINEAR PARTIAL DIFFERENTIAL EQUATIONS
The Laplace Transform
Solutions for PDEs
If in a partial dierential equation the time t is one of the independent vari
ables of the searchedfor function, we say that the PDE is an evolution
equation. Examples of evolutions equations are the heat equation and the
wave equation. In contrast, when the equation involves only spatial indepen
dent variables then the equation is called a stationary equation. Examples
of stationary equations are the Laplaces equations and Poisson equations.
There are classes of methods that can be used for solving the initial value or
initial boundary problems for evolution equations. We refer to these meth
ods as the methods of integral transforms. The fundamental ones are the
Laplace and the Fourier transforms. In this chapter we will just consider the
Laplace transform.
21 Essentials of the Laplace Transform
Laplace transform has been introduced in an ODE course, and is used espe
cially to solve linear ODEs with constant coecients, where the equations
are transformed to algebraic equations. This idea can be easily extended
to PDEs, where the transformation leads to the decrease of the number of
independent variables. PDEs in two variables are thus reduced to ODEs. In
this section we review the Laplace transform and its properties.
Laplace transform is yet another operational tool for solving constant coe
cients linear dierential equations. The process of solution consists of three
main steps:
The given hard problem is transformed into a simple equation.
This simple equation is solved by purely algebraic manipulations.
The solution of the simple equation is transformed back to obtain the so
181
182 THE LAPLACE TRANSFORM SOLUTIONS FOR PDES
lution of the given problem.
In this way the Laplace transformation reduces the problem of solving a dif
ferential equation to an algebraic problem. The third step is made easier by
tables, whose role is similar to that of integral tables in integration.
The above procedure can be summarized by Figure 21.1
Figure 21.1
In this section we introduce the concept of Laplace transform and discuss
some of its properties.
The Laplace transform is dened in the following way. Let f(t) be dened
for t 0. Then the Laplace transform of f, which is denoted by L[f(t)]
or by F(s), is dened by the following equation
L[f(t)] = F(s) = lim
T
_
T
0
f(t)e
st
dt =
_
0
f(t)e
st
dt
The integral which denes a Laplace transform is an improper integral. An
improper integral may converge or diverge, depending on the integrand.
When the improper integral is convergent then we say that the function f(t)
possesses a Laplace transform. So what types of functions possess Laplace
transforms, that is, what type of functions guarantees a convergent improper
integral.
Example 21.1
Find the Laplace transform, if it exists, of each of the following functions
(a) f(t) = e
at
(b) f(t) = 1 (c) f(t) = t (d) f(t) = e
t
2
Solution.
(a) Using the denition of Laplace transform we see that
L[e
at
] =
_
0
e
(sa)t
dt = lim
T
_
T
0
e
(sa)t
dt.
But
_
T
0
e
(sa)t
dt =
_
T if s = a
1e
(sa)T
sa
if s = a.
21 ESSENTIALS OF THE LAPLACE TRANSFORM 183
For the improper integral to converge we need s > a. In this case,
L[e
at
] = F(s) =
1
s a
, s > a.
(b) In a similar way to what was done in part (a), we nd
L[1] =
_
0
e
st
dt = lim
T
_
T
0
e
st
dt =
1
s
, s > 0.
(c) We have
L[t] =
_
0
te
st
dt =
_
te
st
s
e
st
s
2
_
0
=
1
s
2
, s > 0.
(d) Again using the denition of Laplace transform we nd
L[e
t
2
] =
_
0
e
t
2
st
dt.
If s 0 then t
2
st 0 so that e
t
2
st
1 and this implies that
_
0
e
t
2
st
dt
_
0
dt. Since the integral on the right is divergent, by the comparison theorem
of improper integrals (see Theorem 23.1 below) the integral on the left is also
divergent. Now, if s > 0 then
_
0
e
t(ts)
dt
_
s
dt. By the same reasoning
the integral on the left is divergent. This shows that the function f(t) = e
t
2
does not possess a Laplace transform
The above example raises the question of what class or classes of functions
possess a Laplace transform. To answer this question we introduce few math
ematical concepts.
A function f that satises
f(t) Me
at
, t C (21.1)
is said to be a function with an exponential order at innity. A function
f is called piecewise continuous on an interval if the interval can be bro
ken into a nite number of subintervals on which the function is continuous
on each open subinterval (i.e. the subinterval without its endpoints) and
has a nite limit at the endpoints (jump discontinuities and no vertical
asymptotes) of each subinterval. Below is a sketch of a piecewise continuous
184 THE LAPLACE TRANSFORM SOLUTIONS FOR PDES
function.
Note that a piecewise continuous function is a function that has a nite
number of breaks in it and doesnt blow up to innity anywhere. A func
tion dened for t 0 is said to be piecewise continuous on the innite
interval if it is piecewise continuous on 0 t T for all T > 0.
Example 21.2
Show that the following functions are piecewise continuous and of exponential
order at innity for t 0
(a) f(t) = t
n
(b) f(t) = t
n
sin at
Solution.
(a) Since e
t
=
n=0
t
n
n!
t
n
n!
, t
n
n!e
t
. Hence, t
n
is piecewise continuous and
of exponential order at innity.
(b) Since t
n
sin at n!e
t
, t
n
sin at is piecewise continuous and of exponential
order at innity
The following is an existence result of Laplace transform.
Theorem 21.1
Suppose that f(t) is piecewise continuous on t 0 and has an exponential
order at innity with f(t) Me
at
for t C. Then the Laplace transform
F(s) =
_
0
f(t)e
st
dt
exists as long as s > a. Note that the two conditions above are sucient, but
not necessary, for F(s) to exist.
In what follows, we will denote the class of all piecewise continuous functions
with exponential order at innity by PE. The next theorem shows that any
linear combination of functions in PE is also in PE. The same is true for the
product of two functions in PE.
21 ESSENTIALS OF THE LAPLACE TRANSFORM 185
Theorem 21.2
Suppose that f(t) and g(t) are two elements of PE with
f(t) M
1
e
a
1
t
, t C
1
and g(t) M
2
e
a
1
t
, t C
2
.
(i) For any constants and the function f(t) +g(t) is also a member of
PE. Moreover
L[f(t) + g(t)] = L[f(t)] + L[g(t)].
(ii) The function h(t) = f(t)g(t) is an element of PE.
We next discuss the problem of how to determine the function f(t) if F(s)
is given. That is, how do we invert the transform. The following result on
uniqueness provides a possible answer. This result establishes a onetoone
correspondence between the set PE and its Laplace transforms. Alterna
tively, the following theorem asserts that the Laplace transform of a member
in PE is unique.
Theorem 21.3
Let f(t) and g(t) be two elements in PE with Laplace transforms F(s) and
G(s) such that F(s) = G(s) for some s > a. Then f(t) = g(t) for all t 0
where both functions are continuous.
With the above theorem, we can now ocially dene the inverse Laplace
transform as follows: For a piecewise continuous function f of exponential
order at innity whose Laplace transform is F, we call f the inverse Laplace
transform of F and write f = L
1
[F(s)]. Symbolically
f(t) = L
1
[F(s)] F(s) = L[f(t)].
Example 21.3
Find L
1
_
1
s1
_
, s > 1.
Solution.
From Example 23.1(a), we have that L[e
at
] =
1
sa
, s > a. In particular, for
a = 1 we nd that L[e
t
] =
1
s1
, s > 1. Hence, L
1
_
1
s1
_
= e
t
, t 0 .
The above theorem states that if f(t) is continuous and has a Laplace trans
form F(s), then there is no other function that has the same Laplace trans
form. To nd L
1
[F(s)], we can inspect tables of Laplace transforms of
186 THE LAPLACE TRANSFORM SOLUTIONS FOR PDES
known functions to nd a particular f(t) that yields the given F(s).
When the function f(t) is not continuous, the uniqueness of the inverse
Laplace transform is not assured. The following example addresses the
uniqueness issue.
Example 21.4
Consider the two functions f(t) = H(t)H(3 t) and g(t) = H(t) H(t 3),
where H is the Heaviside function dened by
H(t) =
_
1, t 0
0, t < 0
(a) Are the two functions identical?
(b) Show that L[f(t)] = L[g(t).
Solution.
(a) We have
f(t) =
_
1, 0 t 3
0, t > 3
and
g(t) =
_
1, 0 t < 3
0, t 3
Since f(3) = 1 and g(3) = 0 then f and g are not identical.
(b) We have
L[f(t)] = L[g(t)] =
_
3
0
e
st
dt =
1 e
3s
s
, s > 0.
Thus, both functions f(t) and g(t) have the same Laplace transform even
though they are not identical. However, they are equal on the interval(s)
where they are both continuous
The inverse Laplace transform possesses a linear property as indicated in
the following result.
Theorem 21.4
Given two Laplace transforms F(s) and G(s) then
L
1
[aF(s) + bG(s)] = aL
1
[F(s)] + bL
1
[G(s)]
for any constants a and b.
21 ESSENTIALS OF THE LAPLACE TRANSFORM 187
Convolution integrals are useful when nding the inverse Laplace transform
of products. They are dened as follows: The convolution of two scalar
piecewise continuous functions f(t) and g(t) dened for t 0 is the integral
(f g)(t) =
_
t
0
f(t s)g(s)ds.
Example 21.5
Find f g where f(t) = e
t
and g(t) = sin t.
Solution.
Using integration by parts twice we arrive at
(f g)(t) =
_
t
0
e
(ts)
sin sds
=
1
2
_
e
(ts)
(sin s cos s)
t
0
=
e
t
2
+
1
2
(sin t cos t)
Next, we state several properties of convolution product, which resemble
those of ordinary product.
Theorem 21.5
Let f(t), g(t), and k(t) be three piecewise continuous scalar functions dened
for t 0 and c
1
and c
2
are arbitrary constants. Then
(i) f g = g f (Commutative Law)
(ii) (f g) k = f (g k) (Associative Law)
(iii) f (c
1
g + c
2
k) = c
1
f g + c
2
f k (Distributive Law)
Example 21.6
Express the solution to the initial value problem y
+ y = g(t), y(0) = y
0
in terms of a convolution integral.
Solution.
Solving this initial value problem by the method of integrating factor we nd
y(t) = e
t
y
0
+
_
t
0
e
(ts)
g(s)ds = e
t
y
0
+ (e
t
g)(t)
The following theorem, known as the Convolution Theorem, provides a way
for nding the Laplace transform of a convolution integral and also nding
the inverse Laplace transform of a product.
188 THE LAPLACE TRANSFORM SOLUTIONS FOR PDES
Theorem 21.6
If f(t) and g(t) are piecewise continuous for t 0, and of exponential order
at innity then
L[(f g)(t)] = L[f(t)]L[g(t)] = F(s)G(s).
Thus, (f g)(t) = L
1
[F(s)G(s)].
Example 21.7
Use the convolution theorem to nd the inverse Laplace transform of
P(s) =
1
(s
2
+ a
2
)
2
.
Solution.
Note that
P(s) =
_
1
s
2
+ a
2
__
1
s
2
+ a
2
_
.
So, in this case we have, F(s) = G(s) =
1
s
2
+a
2
so that f(t) = g(t) =
1
a
sin (at).
Thus,
(f g)(t) =
1
a
2
_
t
0
sin (at as) sin (as)ds =
1
2a
3
(sin (at) at cos (at))
Example 21.8
Solve the initial value problem
4y
+ y = g(t), y(0) = 3, y
(0) = 7
Solution.
Take the Laplace transform of all the terms and plug in the initial conditions
to obtain
4(s
2
Y (s) 3s + 7) + Y (s) = G(s)
or
(4s
2
+ 1)Y (s) 12s + 28 = G(s).
Solving for Y (s) we nd
21 ESSENTIALS OF THE LAPLACE TRANSFORM 189
Y (s) =
12s 28
4
_
s
2
+
1
4
_ +
G(s)
4
_
s
2
+
1
4
_
=
3s
s
2
+
_
(
1
2
_
2
7
_
1
2
_
2
s
2
+
_
1
2
_
2
+
1
4
G(s)
_
1
2
_
2
s
2
+
_
1
2
_
2
Hence,
y(t) = 3 cos
_
t
2
_
7 sin
_
t
2
_
+
1
2
_
t
0
sin
_
s
2
_
g(t s)ds.
So, once we decide on a g(t) all we need to do is to evaluate the integral and
well have the solution
We conclude this section with the following table of Laplace transform pairs.
H is the Heaviside function and is the Dirac delta function as dened in
Section 0.
190 THE LAPLACE TRANSFORM SOLUTIONS FOR PDES
f(t) F(s)
H(t) =
_
1, t 0
0, t < 0
1
s
, s > 0
t
n
, n = 1, 2,
n!
s
n+1
, s > 0
e
t s
s
, s >
sin (t)
s
2
+
2
, s > 0
cos (t)
s
s
2
+
2
, s > 0
sinh (t)
s
2
2
, s > 
cosh (t)
s
s
2
2
, s > 
e
t
f(t), with f(t) Me
at
F(s ), s > +a
e
t
H(t)
1
s
, s >
e
t
t
n
, n = 1, 2,
n!
(s)
n+1
, s >
e
t
sin (t)
(s)
2
+
2
, s >
e
t
cos (t)
s
(s)
2
+
2
, s >
f(t )H(t ), 0 e
s
F(s), s > a
with f(t) Me
at
H(t ), 0
e
s
s
, s > 0
tf(t) F
(s)
t
2
sin t
s
(s
2
+
2
)
2
, s > 0
1
2
3
[sin t t cos t]
1
(s
2
+
2
)
2
, s > 0
f
(t) Me
at
s > max{a, 0} + 1
f
(t), with f
(t) continuous s
2
F(s) sf(0) f
(0)
and f
(t) Me
at
s > max{a, 0} + 1
f
(n)
(t), with f
(n1)
(t) continuous s
n
F(s) s
n1
f(0)
and f
(n)
(t) Me
at
sf
(n2)
(0) f
(n1)
(0)
s > max{a, 0} + 1
_
t
0
f(u)du, with f(t) Me
at
F(s)
s
, s > max{a, 0} + 1
Table L
21 ESSENTIALS OF THE LAPLACE TRANSFORM 191
Practice Problems
Exercise 21.1
Determine whether the integral
_
0
1
1+t
2
dt converges. If the integral con
verges, give its value.
Exercise 21.2
Determine whether the integral
_
0
t
1+t
2
dt converges. If the integral con
verges, give its value.
Exercise 21.3
Determine whether the integral
_
0
e
t
cos (e
t
)dt converges. If the integral
converges, give its value.
Exercise 21.4
Using the denition, nd L[e
3t
], if it exists. If the Laplace transform exists
then nd the domain of F(s).
Exercise 21.5
Using the denition, nd L[t 5], if it exists. If the Laplace transform exists
then nd the domain of F(s).
Exercise 21.6
Using the denition, nd L[e
(t1)
2
], if it exists. If the Laplace transform
exists then nd the domain of F(s).
Exercise 21.7
Using the denition, nd L[(t 2)
2
], if it exists. If the Laplace transform
exists then nd the domain of F(s).
Exercise 21.8
Using the denition, nd L[f(t)], if it exists. If the Laplace transform exists
then nd the domain of F(s).
f(t) =
_
0, 0 t < 1
t 1, t 1
192 THE LAPLACE TRANSFORM SOLUTIONS FOR PDES
Exercise 21.9
Using the denition, nd L[f(t)], if it exists. If the Laplace transform exists
then nd the domain of F(s).
f(t) =
_
_
_
0, 0 t < 1
t 1, 1 t < 2
0, t 2.
Exercise 21.10
Let n be a positive integer. Using integration by parts establish the reduction
formula
_
t
n
e
st
dt =
t
n
e
st
s
+
n
s
_
t
n1
e
st
dt, s > 0.
Exercise 21.11
For s > 0 and n a positive integer evaluate the limits
(a) lim
t0
t
n
e
st
(b) lim
t
t
n
e
st
Exercise 21.12
Use the linearity property of Laplace transform to nd L[5e
7t
+ t + 2e
2t
].
Find the domain of F(s).
Exercise 21.13
Find L
1
_
3
s2
_
.
Exercise 21.14
Find L
1
_
2
s
2
+
1
s+1
_
.
Exercise 21.15
Find L
1
_
2
s+2
+
2
s2
_
.
Exercise 21.16
Use Table L to nd L[2e
t
+ 5].
Exercise 21.17
Use Table L to nd L[e
3t3
H(t 1)].
Exercise 21.18
Use Table L to nd L[sin
2
t].
21 ESSENTIALS OF THE LAPLACE TRANSFORM 193
Exercise 21.19
Use Table L to nd L[sin 3t cos 3t].
Exercise 21.20
Use Table L to nd L[e
2t
cos 3t].
Exercise 21.21
Use Table L to nd L[e
4t
(t
2
+ 3t + 5)].
Exercise 21.22
Use Table L to nd L
1
[
10
s
2
+25
+
4
s3
].
Exercise 21.23
Use Table L to nd L
1
[
5
(s3)
4
].
194 THE LAPLACE TRANSFORM SOLUTIONS FOR PDES
Sample Exam Questions
Exercise 21.24
Use Table L to nd L
1
[
e
2s
s9
].
Exercise 21.25
Using the partial fraction decomposition nd L
1
_
12
(s3)(s+1)
_
.
Exercise 21.26
Using the partial fraction decomposition nd L
1
_
24e
5s
s
2
9
_
.
Exercise 21.27
Use Laplace transform technique to solve the initial value problem
y
+ 4y = g(t), y(0) = 2
where
g(t) =
_
_
_
0, 0 t < 1
12, 1 t < 3
0, t 3
Exercise 21.28
Use Laplace transform technique to solve the initial value problem
y
4y = e
3t
, y(0) = 0, y
(0) = 0.
Exercise 21.29
Consider the functions f(t) = e
t
and g(t) = e
2t
, t 0. Compute f g in
two dierent ways.
(a) By directly evaluating the integral.
(b) By computing L
1
[F(s)G(s)] where F(s) = L[f(t)] and G(s) = L[g(t)].
Exercise 21.30
Consider the functions f(t) = sin t and g(t) = cos t, t 0. Compute f g in
two dierent ways.
(a) By directly evaluating the integral.
(b) By computing L
1
[F(s)G(s)] where F(s) = L[f(t)] and G(s) = L[g(t)].
Exercise 21.31
Compute t t t.
21 ESSENTIALS OF THE LAPLACE TRANSFORM 195
Exercise 21.32
Compute H(t) e
t
e
2t
.
Exercise 21.33
Compute t e
t
e
t
.
196 THE LAPLACE TRANSFORM SOLUTIONS FOR PDES
22 Solving PDEs Using Laplace Transform
The same idea for solving linear ODEs using Laplace transform can be ex
ploited when solving PDEs for functions in two variables u = u(x, t). The
transformation will be done with respect to the time variable t 0, the spa
tial variable x will be treated as a parameter unaected by this transform.
In particular we dene the Laplace transform of u(x, t) by the formula
L(u(x, t)) = U(x, s) =
_
0
u(x, )e
s
d.
The time derivatives are transformed in the same way as in the case of
functions in one variable, that is, for example
L(u
t
)(x, t) = sU(x, s) u(x, 0)
and
L(u
tt
)(x, s) = s
2
U(x, s) su(x, 0) u
t
(x, 0).
The spatial derivatives remain unchanged, for example,
Lu
x
(x, t) =
_
0
u
x
(x, )e
s
d =
x
_
0
u(x, )e
s
d = U
x
(x, s).
Likewise, we have
Lu
xx
(x, t) = U
xx
(x, s).
Thus, applying the Laplace transform to a PDE in two variables x and t we
obtain an ODE in the variable x and with the parameter s.
Example 22.1
Let u(x, t) be the concentration of a chemical contaminant dissolved in a
liquid on a halfinnte domain x > 0. Let us assume that at time t = 0 the
concentration is 0 and on the boundary x = 0, constant unit concentration of
the contaminant is kept for t > 0. The behaviour of this problem is described
by the following mathematical model
_
_
u
t
u
xx
= 0 , x > 0, t > 0
u(x, 0) = 0,
u(0, t) = 1,
u(x, t) <
Find u(x, t).
22 SOLVING PDES USING LAPLACE TRANSFORM 197
Solution.
Applying Laplace transform to both sides of the equation we obtain
sU(x, s) u(x, 0) U
xx
(x, s) = 0
or
U
xx
(x, s) sU(x, s) = 0.
This is a second order linear ODE in the variable x and positive parameter
s. Its general solution is
U(x, s) = A(s)e
sx
+ B(s)e
sx
.
Since U(x, s) is bounded in both variables, we must have B(s) = 0 and in
this case we obtain
U(x, s) = A(s)e
sx
.
Next, we apply Laplace transform to the boundary condition obtaining
U(0, s) = L(1) =
1
s
.
This leads to A(s) =
1
s
and the transformed solution becomes
U(x, s) =
1
s
e
sx
.
Thus,
u(x, t) = L
1
_
1
s
e
sx
_
.
One can use a software package to nd the expression for L
1
_
1
s
e
sx
_
Example 22.2
Solve the following initial boundary value problem
_
_
u
t
u
xx
= 0 , x > 0, t > 0
u(x, 0) = 0,
u(0, t) = f(t),
u(x, t) <
198 THE LAPLACE TRANSFORM SOLUTIONS FOR PDES
Solution.
Following the argument of the previous example we nd
U(x, s) = F(s)e
sx
, F(s) = Lf(t).
Thus, using Theorem 21.6 we can write
u(x, t) = L
1
_
F(s)e
sx
_
= f L
1
(e
sx
).
It can be shown that
L
1
(e
sx
) =
x
4t
3
e
x
2
4t
.
Hence,
u(x, t) =
_
t
0
x
_
4(t s)
3
e
x
2
4(ts)
f(s)ds
Example 22.3
Solve the wave equation
_
_
u
tt
c
2
u
xx
= 0 , x > 0, t > 0
u(x, 0) = u
t
(x, 0) = 0,
u(0, t) = f(t),
u(x, t) <
Solution.
Applying Laplace transform to both sides of the equation we obtain
s
2
U(x, s) su(x, 0) u
t
(x, 0) c
2
U
xx
(x, s) = 0
or
c
2
U
xx
(x, s) s
2
U(x, s) = 0.
This is a second order linear ODE in the variable x and positive parameter
s. Its general solution is
U(x, s) = A(s)e
s
c
x
+ B(s)e
s
c
x
.
Since U(x, s) is bounded, we must have B(s) = 0 and in this case we obtain
U(x, s) = A(s)e
s
c
x
.
22 SOLVING PDES USING LAPLACE TRANSFORM 199
Next, we apply Laplace transform to the boundary condition obtaining
U(0, s) = L(f(t)) = F(s).
This leads to A(s) = F(s) and the transformed solution becomes
U(x, s) = F(s)e
s
c
x
.
Thus,
u(x, t) = L
1
_
F(s)e
x
c
s
_
= H
_
t
x
c
_
f
_
t
x
c
_
Remark 22.1
Laplace transforms are useful in solving parabolic and some hyperbolic PDEs.
They are not in general useful in solving elliptic PDEs.
200 THE LAPLACE TRANSFORM SOLUTIONS FOR PDES
Practice Problems
Exercise 22.1
Solve by Laplace transform
_
_
_
u
t
+ u
x
= 0 , x > 0, t > 0
u(x, 0) = sin x,
u(0, t) = 0
Hint: Method of integrating factor of ODEs.
Exercise 22.2
Solve by Laplace transform
_
_
_
u
t
+ u
x
= u , x > 0, t > 0
u(x, 0) = sin x,
u(0, t) = 0
Exercise 22.3
Solve
u
t
= 4u
xx
u(0, t) = u(1, t) = 0
u(x, 0) = 2 sin x + 3 sin 2x.
Hint: A particular solution of a second order ODE must be found using the
method of variation of parameters.
Exercise 22.4
Solve by Laplace transform
_
_
_
u
t
u
x
= u , x > 0, t > 0
u(x, 0) = e
5x
,
u(x, t) <
Exercise 22.5
Solve by Laplace transform
_
_
_
u
t
+ u
x
= t , x > 0, t > 0
u(x, 0) = 0,
u(0, t) = t
2
22 SOLVING PDES USING LAPLACE TRANSFORM 201
Exercise 22.6
Solve by Laplace transform
_
_
_
xu
t
+ u
x
= 0 , x > 0, t > 0
u(x, 0) = 0,
u(0, t) = t
Exercise 22.7
Solve by Laplace transform
_
_
u
tt
c
2
u
xx
= 0 , x > 0, t > 0
u(x, 0) = u
t
(x, 0) = 0,
u(0, t) = sin x,
u(x, t) <
Exercise 22.8
Solve by Laplace transform
u
tt
9u
xx
= 0, 0 x , t > 0
u(0, t) = u(, t) = 0,
u
t
(x, 0) = 0, u(x, 0) = 2 sin x.
Exercise 22.9
Solve by Laplace transform
_
_
_
u
xy
= 1 , x > 0, y > 0
u(x, 0) = 1,
u(0, y) = y + 1.
Exercise 22.10
Solve by Laplace transform
_
_
u
tt
= c
2
u
xx
, x > 0, t > 0
u(x, 0) = u
t
(x, 0) = 0,
u
x
(0, t) = f(t),
u(x, t) < .
202 THE LAPLACE TRANSFORM SOLUTIONS FOR PDES
Sample Exam Questions
Exercise 22.11
Solve by Laplace transform
_
_
_
u
t
+ u
x
= u , x > 0, t > 0
u(x, 0) = sin x,
u(0, t) = 0
Exercise 22.12
Solve by Laplace transform
_
_
u
t
c
2
u
xx
= 0 , x > 0, t > 0
u(x, 0) = T,
u(0, t) = 0,
u(x, t) <
Exercise 22.13
Solve by Laplace transform
u
t
3u
xx
= 0, 0 x 2, t > 0
u(0, t) = u(2, t) = 0,
u(x, 0) = 5 sin (x)
Exercise 22.14
Solve by Laplace transform
u
t
4u
xx
= 0, 0 x , t > 0
u
x
(0, t) = u(, t) = 0,
u(x, 0) = 40 cos
x
2
Exercise 22.15
Solve by Laplace transform
u
tt
4u
xx
= 0, 0 x 2, t > 0
u(0, t) = u(2, t) = 0,
u
t
(x, 0) = 0, u(x, 0) = 3 sin x.
The Fourier Transform
Solutions for PDEs
In the previous chapter we discussed one class of integral transform meth
ods, the Laplace transfom. In this chapter, we consider a second fundamental
class of integral transform methods, the socalled Fourier transform.
Fourier series are designed to solve boundary value problems on bounded
intervals. The extension of Fourier methods to the entire real line leads nat
urally to the Fourier transform, an extremely powerful mathematical tool for
the analysis of nonperiodic functions. The Fourier transform is of fundamen
tal importance in a broad range of applications, including both ordinary and
partial dierential equations, quantum mechanics, signal processing, control
theory, and probability, to name but a few.
23 Complex Version of Fourier Series
We have seen in Section 15 that a 2Lperiodic function f : R R that is
piecewise smooth on [L, L] can be expanded in a Fourier series
f(x) =
a
0
2
+
n=1
_
a
n
cos
_
n
L
x
_
+ b
n
sin
_
n
L
x
__
at all points of continuity of f. In the context of Fourier analysis, this is
referred to as the real form of the Fourier series. It is often convenient to
recast this series in complex form by means of Euler formula
e
ix
= cos x + i sin x.
It follows from this formula that
203
204 THE FOURIER TRANSFORM SOLUTIONS FOR PDES
e
ix
+ e
ix
= 2 cos x and e
ix
e
ix
= 2i sin x
or
cos x =
e
ix
+e
ix
2
and sin x =
e
ix
e
ix
2i
.
Hence the Fourier expansion of f can be rewritten as
f(x) =
a
0
2
+
n=1
_
a
n
_
e
inx
L
+ e
inx
L
2
_
+b
n
_
e
inx
L
e
inx
L
2i
__
f(x) =
c
n
e
inx
L
(23.1)
where c
0
=
a
0
2
and for n N we have
c
n
=
a
n
ib
n
2
c
n
=
a
n
+ ib
n
2
.
It follows that if n N then
a
n
= c
n
+ c
n
and b
n
= i(c
n
c
n
). (23.2)
That is, a
n
and b
n
can be easily found once we have formulas for c
n
. In order
to nd these formulas, we need to evaluate the following integral
_
L
L
e
inx
L
e
imx
L
dx =
_
L
L
e
i(nm)x
L
dx
=
L
i(n m)
e
i(nm)x
L
_
L
L
=
iL
(n m)
[cos [(n m)] + i sin [(n m)]
cos [(n m)] i sin [(n m)]]
=0
23 COMPLEX VERSION OF FOURIER SERIES 205
if n = m. If n = m then
_
L
L
e
inx
L
e
inx
L
dx = 2L.
Now, if we multiply (23.1) by e
inx
L
and integrate from L to L and apply
the last result we nd
_
L
L
f(x)e
inx
L
dx = 2Lc
n
which yields the formula for coecients of the complex form of the Fourier
series:
c
n
=
1
2L
_
L
L
f(x)e
inx
L
dx, n = 0, 1, 2, .
Example 23.1
Find the complex Fourier coecients of the function
f(x) = x, x
extended to be periodic of period 2.
Solution.
Using integration by parts and the fact that e
i
= e
i
= 1 we nd
c
n
=
1
2
_
xe
inx
dx
=
1
2
__
ix
n
_
e
inx
_
i
n
_
e
inx
dx
_
=
1
2
__
i
n
_
e
in
+
_
i
n
_
e
in
_
+
1
2
_
1
n
2
e
in
1
n
2
e
in
_
=
1
2
_
2i
n
(1)
n
_
+
1
2
(0) =
(1)
n
i
n
Remark 23.1
It is often the case that the complex form of the Fourier series is far simpler
to calculate than the real form. One can then use (23.2) to nd the real form
of the Fourier series. For example, the Fourier coecients of the real form of
the previous function are given by
a
n
= (c
n
+ c
n
) = 0 and b
n
= i(c
n
c
n
) =
2
n
(1)
n+1
, n N
206 THE FOURIER TRANSFORM SOLUTIONS FOR PDES
Practice Problems
Exercise 23.1
Find the complex Fourier coecients of the function
f(x) = x, 1 x 1
extended to be periodic of period 2.
Exercise 23.2
Let
f(x) =
_
_
_
0 < x <
2
1
2
< x <
2
0 < x <
be 2periodic. Find its complex series representation.
Exercise 23.3
Find the complex Fourier series of the 2periodic function f(x) = e
ax
over
the interval (, ).
Exercise 23.4
Find the complex Fourier series of the 2periodic function f(x) = sin x
over the interval (, ).
Exercise 23.5
Find the complex Fourier series of the 2periodic function dened
f(x) =
_
1 0 < x < T
0 T < x < 2
Exercise 23.6
Let f(x) = x
2
, < x < , be 2periodic.
(a) Calculate the complex Fourier series representation of f.
(b) Using the complex Fourier series found in (a), recover the real Fourier
series representation of f.
Exercise 23.7
Let f(x) = sin nx,
1
2
< x <
1
2
, be of period 1.
(a) Calculate the coecients a
n
, b
n
and c
n
.
(b) Find the complex Fourier series representation of f.
23 COMPLEX VERSION OF FOURIER SERIES 207
Exercise 23.8
Let f(x) = 2 x, 2 < x < 2, be of period 2.
(a) Calculate the coecients a
n
, b
n
and c
n
.
(b) Find the complex Fourier series representation of f.
Exercise 23.9
Suppose that the coecients c
n
of the complex Fourier series are given by
c
n
=
_
2
in
if n is odd
0 if n is even.
Find a
n
, n = 0, 1, 2, and b
n
, n = 1, 2, .
Exercise 23.10
Recall that any complex number z can be written as z = Re(z) + iIm(z)
where Re(z) is called the real part of z and Im(z) is called the imaginary
part. The complex conjugate of z is the complex number z = Re(z)
iIm(z). Using these denitions show that a
n
= 2Re(c
n
) and b
n
= 2Im(c
n
).
208 THE FOURIER TRANSFORM SOLUTIONS FOR PDES
Sample Exam Questions
Exercise 23.11
Suppose that
c
n
=
_
i
2n
[e
inT
1] if n = 0
T
2
if n = 0.
Find a
n
and b
n
.
Exercise 23.12
Find the complex Fourier series of the function f(x) = e
x
on [2, 2].
Exercise 23.13
Consider the wave form
(a) Write f(x) explicitly. What is the period of f.
(b) Determine a
0
and a
n
for n N.
(c) Determine b
n
for n N.
(d) Determine c
0
and c
n
for n N.
Exercise 23.14
If z is a complex number we dene sin z =
1
2
(e
iz
e
iz
). Find the complex
form of the Fourier series for sin 3x without evaluating any integrals.
Exercise 23.15
Find c
n
for the 2periodic function
f(x) =
_
1 if s x s + h
0 elsewhere in [, ]
24 TWO DIMENSIONAL FOURIER TRANSFORMS 209
24 Two Dimensional Fourier Transforms
One of the problems with the theory of Fourier series discussed so far is that
it applies only to periodic functions. There are many times when one would
like to divide a function which is not periodic into a superposition of sines
and cosines. The Fourier transform is the tool often used for this purpose.
Like the Laplace transform, the Fourier transform is often an eective tool
in nding explicit solutions to dierential equations.
To start with, let f : R R be a piecewise continuous function that vanishes
outside an interval of the form [L, L]. This function can be extended to
a periodic function, still denoted by f, of period 2L. From the previous
section we can nd the complex Fourier series of f to be
f(x) =
n=
c
n
e
inx
L
(24.1)
where
c
n
=
1
2L
_
L
L
f(x)e
inx
L
.
Let R. Multiply both sides of (24.1) by e
ix
and then integrate both sides
from L to L. Assuming integration and summation can be interchanged
we nd
_
L
L
f(x)e
ix
dx =
n=
c
n
_
L
L
e
ix
e
inx
L
dx.
It can be shown that the RHS converges, say to
f(), as L . Hence, we
nd
f() =
_
f(x)e
ix
dx (24.2)
The function
f is called the Fourier transformof f. We will use the notation
F[f(x)] =
f().
Now, letting =
n
L
we nd
f
_
n
L
_
=
_
L
L
f(x)e
inx
L
dx = 2Lc
n
.
210 THE FOURIER TRANSFORM SOLUTIONS FOR PDES
Hence, (24.1) can be written in the form
f(x) =
1
2L
n=
f
_
n
L
_
e
inx
L
.
In the limit as L , it can be shown that this last sum approaches an
improper integral, and our formula becomes
F
1
[
f()] = f(x) =
1
2
_
f()e
ix
d (24.3)
Equation (24.3) is called the Fourier inversion formula. If we make use of
Eulers formula, we can write the Fourier inversion formula in terms of sines
and cosines,
f(x) =
1
2
_
f() cos xd +
i
2
_
f() sin xd
a superposition of sines and cosines of various frequencies.
Equations (24.2) and (24.3) allow one to pass back and forth between a given
function and its representation as a superposition of oscillations of various
frequencies.
Example 24.1
Find the Fourier transform of the function f(x) dened by
f(x) =
_
e
ax
if x 0
0 if x < 0
for some a > 0.
Solution.
We have
f() =
_
f(t)e
ix
dx =
_
0
e
ax
e
ix
dx
=
_
0
e
axix
dx =
e
x(a+i)
(a + i)
0
=
1
a + i
The following theorem lists the basic properties of Fourier transform
24 TWO DIMENSIONAL FOURIER TRANSFORMS 211
Theorem 24.1
Let f, g, be piecewise continuous functions. Then we have the following
properties:
(1) Linearity: F[f(x) +g(x)] = F[f(x)] +F[g(x)], where and are
arbitrary numbers.
(2) Shifting: F[f(x )] = e
F[f(x)].
(3) Scaling: F[f
_
x
_
] = F[f(x)].
(4) Continuity: If
_
=
1
i
F[f(x)].
(7) Parsevals Relation:
_
f(x)
2
dx =
1
2
_
f()
2
d.
(8) Duality: F[F[f(x)]] = 2f(x).
(9) Multiplication by x
n
: F[x
n
f(x)] = i
n
f
(n)
().
(10) Gaussians: F[e
x
2
] =
_
2
4
.
(11) Product: F[(f(x)g(x)] =
1
2
F[f(x)] F[g(x)].
(12) Convolution: F[(f g)(x)] = F[f(x)] F[g(x)].
Example 24.2
Determine the Fourier transform of the Gaussian u(x) = e
x
2
, > 0.
Solution.
We have
u() =
_
e
x
2
e
ix
dx.
If we dierentiate this relation with respect to the variable and then inte
grate by parts we obtain
u
() =i
_
xe
x
2
e
ix
dx
=
i
2
_
d
dx
(e
x
2
)e
ix
dx
=
i
2
_
(e
x
2
)e
ix
dx =
2
u()
Thus we have arrived at the ODE u
() =
2
y() whose general solution
has the form
u() = Ce
2
4
212 THE FOURIER TRANSFORM SOLUTIONS FOR PDES
Since
u(0) =
_
e
x
dx =
_
= C
we nd
u() =
_
2
4
Example 24.3
Prove
F[f(x)] =
f().
Solution.
Using a change of variables we nd
F[f(x)] =
_
f(x)e
ix
dx =
_
f(x)e
ix
dx =
f()
Example 24.4
Prove
F[F[f(x)]] = 2f(x).
Solution.
We have
f(x) =
1
2
_
f()e
ix
d
Thus,
2f(x) =
_
f()e
ix
d = F[
f()] = F[F[f(x)]]
The following theorem lists the properties of inverse Fourier transform
Theorem 24.2
Let f and g be piecewise continuous functions.
(1) Linearity: F
1
[
f() + g()] = F
1
[
f()] + F
1
[ g()].
(2) Derivatives: F
1
[
f
(n)
()] = (ix)
n
f(x).
(3) Multiplication by
n
: F
1
[
n
f()] = (i)
n
f
(n)
(x).
(4) Multiplication by e
i
: F
1
[e
i
f()] = f(x ).
(5) Gaussians: F
1
[e
2
] =
1
4
e
x
2
4
.
(6) Product: F
1
[
f() g()] = f(x) g(x).
(7) Convolution: F
1
[
f g()] = 2(fg)(x).
24 TWO DIMENSIONAL FOURIER TRANSFORMS 213
Remark 24.1
It is important to mention that there exists no established convention how
to dene the Fourier transform. In literature, we can meet an equivalent
denition of (24.2) with the constant
1
2
or
1
2
in front of the integral.
There also exist denitions with positive sign in the exponent. The reader
should keep this fact in mind while working with various sources or using the
transformation tables.
214 THE FOURIER TRANSFORM SOLUTIONS FOR PDES
Practice Problems
Exercise 24.1
Find the Fourier transform of the function
f(x) =
_
1 if 1 x 1
0 otherwise.
Exercise 24.2
Obtain the transformed problem when applying the Fourier transform with
respect to the spatial variable to the equation and initial condition
u
t
+ cu
x
= 0
u(x, 0) = f(x).
Exercise 24.3
Obtain the transformed problem when applying the Fourier transform with
respect to the spatial variable to the equation and both initial conditions
u
tt
= c
2
u
xx
, x R, t > 0
u(x, 0) = f(x)
u
t
(x, 0) = g(x).
Exercise 24.4
Obtain the transformed problem when applying the Fourier transform with
respect to the spatial variable to the equation and both initial conditions
u = u
xx
+ u
yy
= 0, x R, 0 < y < L
u(x, 0) = 0
u(x, L) =
_
1 if a < x < a
0 otherwise
Exercise 24.5
Find the Fourier transform of f(x) = e
x
, where > 0.
24 TWO DIMENSIONAL FOURIER TRANSFORMS 215
Exercise 24.6
Prove that
F[e
x
H(x)] =
1
1 + i
where
H(x) =
_
1 if x 0
0 otherwise.
Exercise 24.7
Prove that
F
_
1
1 + ix
_
= 2e
H().
Exercise 24.8
Prove
F[f(x )] = e
i
f().
Exercise 24.9
Prove
F[e
ix
f(x)] =
f(x ).
Exercise 24.10
Prove the following
F[cos (x)f(x)] =
1
2
[
f( + ) +
f( )]
F[sin (x)f(x)] =
1
2
[
f( + )
f( )]
216 THE FOURIER TRANSFORM SOLUTIONS FOR PDES
Sample Exam Questions
Exercise 24.11
Prove
F[f
(x)] = (i)
f().
Exercise 24.12
Find the Fourier transform of f(x) = 1x for 1 x 1 and 0 otherwise.
Exercise 24.13
Find, using the denition, the Fourier transform of
f(x) =
_
_
_
1 a < x < 0
1 0 < x < a
0 otherwise
Exercise 24.14
Find the inverse Fourier transform of
f() = e
2
2
.
Exercise 24.15
Find F
1
_
1
a+i
_
.
25 APPLICATIONS OF FOURIER TRANSFORMS TO PDES 217
25 Applications of Fourier Transforms to PDEs
Fourier transform is a useful tool for solving dierential equations. In this
section, we apply Fourier transforms in solving various PDE problems. Con
trary to Laplace transform, which usually uses the time variable, the Fourier
transform is applied to the spatial variable on the whole real line.
The Fourier transform will be applied to the spatial variable x while the vari
able t remains xed. The PDE in the two variables x and t passes under the
Fourier transform to an ODE in the tvariable. We solve this ODE to obtain
the transformed solution u which can be converted to the original solution u
by means of the inverse Fourier transform. We illustrate these ideas in the
examples below.
First Order Transport Equation
Consider the initial value problem
u
t
+ cu
x
= 0
u(x, 0) = f(x).
Let u(, t) be the Fourier transform of u in x. Performing the Fourier trans
form on both the PDE and the initial condition, we reduce the PDE into an
ODE in t
u
t
+ ic u = 0
u(, 0) =
f().
Solution of the ODE gives
u(, t) =
f()e
ict
.
Thus,
u(x, t) = F
1
[u(, t)] = f(x ct)
which is exactly the same as we obtained by using the method of character
istics.
Second Order Wave Equation
Consider the two dimensional wave equation
u
tt
= c
2
u
xx
, x R, t > 0
218 THE FOURIER TRANSFORM SOLUTIONS FOR PDES
u(x, 0) = f(x)
u
t
(x, 0) = g(x).
Again, by performing the Fourier transform of u in x, we reduce the PDE
problem into an ODE problem in the variable t:
2
u
t
2
= c
2
2
u
u(, 0) =
f()
u
t
(, 0) = g().
General solution to the ODE is
u(, t) = ()e
ict
+ ()e
ict
where and are two arbitrary functions of . Performing the inverse
transformation and making use of the translation theorem, we get the general
solution
u(x, t) = (x ct) + (x + ct)
where
= and
= . But
() =
1
2
_
f()
1
ic
g()
_
() =
1
2
_
f() +
1
ic
g()
_
.
By using the integration property, we nd the inverse transforms of and
(x) =
1
2
_
f(x) +
1
c
_
x
0
g(s)ds
_
(x) =
1
2
_
f(x)
1
c
_
x
0
g(s)ds
_
.
Application of the translation property then yields directly the DAlambert
solution
u(x, t) =
1
2
[f(x ct) + f(x + ct)] +
1
2c
_
x+ct
xct
g(s)ds.
25 APPLICATIONS OF FOURIER TRANSFORMS TO PDES 219
Second Order Heat Equation
Next, we consider the heat equation
u
t
= ku
xx
, x R, t > 0
u(x, 0) = f(x).
Performing Fourier Transform in x for the PDE and the initial condition, we
obtain
u
t
= k
2
u
u(, 0) =
f().
Treating as a parameter, we obtain the solution to the above ODE problem
u(, t) =
f()e
k
2
t
.
Application of the convolution theorem yields
u(x, t) =f(x) F
1
]e
k
2
t
]
=f(x)
_
1
4kt
e
x
2
4kt
_
=
1
4kt
_
f(s)e
(xs)
2
4kt
ds
Laplaces Equation in 2D
Consider the problem
u = u
xx
+ u
yy
= 0, x R, 0 < y < L
u(x, 0) = 0
u(x, L) =
_
1 if a < x < a
0 otherwise
Performing Fourier Transform in x for the PDE we obtain the second order
PDE in y
u
yy
=
2
u.
The general solution is given by
u(, y) = A() sinh y + B() cosh y.
220 THE FOURIER TRANSFORM SOLUTIONS FOR PDES
Using the boundary condition u(, 0) = 0 we nd B() = 0. Using the second
boundary condition we nd
u(, L) =
_
u(x, L)e
ix
dx
=
_
a
a
e
x
dx =
_
a
a
cos xdx
=
2 sin a
Hence,
A() sinh L =
2 sin a
2 sin a
sinh L
sinh ye
ix
d.
Noting that the integrand is an even function in , we can simplify a little to
to obtain
u(x, y) =
1
2
_
2 sin a
sinh L
sinh y cos xd
25 APPLICATIONS OF FOURIER TRANSFORMS TO PDES 221
Practice Problems
Exercise 25.1
Solve, by using Fourier transform
u
t
+ cu
x
= 0
u(x, 0) = e
x
2
4
.
Exercise 25.2
Solve, by using Fourier transform
u
t
= ku
xx
u, x R
u(x, 0) = e
x
2
.
Exercise 25.3
Solve the heat equation
u
t
= ku
xx
subject to the initial condition
u(x, 0) =
_
1 if x 0
0 otherwise.
Exercise 25.4
Use Fourier transform to solve the heat equation
u
t
= u
xx
+ u, < x < < t > 0
u(x, 0) = f(x).
Exercise 25.5
Prove that
_
e
y
e
ix
d =
2y
x
2
+ y
2
.
Exercise 25.6
Solve the Laplaces equation in the half plane
u
xx
+ u
yy
= 0, < x < , 0 < y <
subject to the boundary condition
u(x, 0) = f(x), u(x, y) < .
222 THE FOURIER TRANSFORM SOLUTIONS FOR PDES
Exercise 25.7
Use Fourier transform to nd the transformed equation of
u
tt
+ ( + )u
t
+ u = c
2
u
xx
where , > 0.
Exercise 25.8
Solve the initial value problem
u
t
+ 3u
x
= 0
u(x, 0) = e
x
using the Fourier transform.
Exercise 25.9
Solve the initial value problem
u
t
= ku
xx
u(x, 0) = e
x
using the Fourier transform.
25 APPLICATIONS OF FOURIER TRANSFORMS TO PDES 223
Sample Exam Questions
Exercise 25.10
Solve the initial value problem
u
t
= ku
xx
u(x, 0) = e
x
2
using the Fourier transform.
Exercise 25.11
Solve the initial value problem
u
t
+ cu
x
= 0
u(x, 0) = x
2
using the Fourier transform.
Exercise 25.12
Solve, by using Fourier transform
u = 0
u
y
(x, 0) = f(x)
lim
x
2
+y
2
u(x, y) = 0.
224 THE FOURIER TRANSFORM SOLUTIONS FOR PDES
Answers and Solutions
Section 1
1.1
(a) y
3
cos (xy)
(b) e
x
2
y
(2y + 4x
2
y
2
)
(c) 0
1.2
(a) f
x
(x, y) = 4x
3
, f
y
(x, y) =
3
y
(b) f
x
(x, y, z) = 2xy + 43, f
y
(x, y, z) = x
2
20yz
3
28
1+16y
2
, f
z
(x, y, z) =
30y
2
z
2
(c) f
s
(s, t) =
2t
7
s
4
7
s
3
7
, f
t
(s, t) = 7t
6
ln (s
2
)
27
t
4
(d) f
x
(x, y) =
4
x
2
sin
_
4
x
_
e
x
2
y5y
3
+cos
_
4
x
_
e
x
2
y5y
3
(2xy), f
y
(x, y) = cos
_
4
x
_
e
x
2
y5y
3
(x
2
15y
2
)
(e) f
u
(u, v) =
9(u
2
+5v)9u(2u)
(u
2
+5v)
2
=
9u
2
+45v
(u
2
+5v)
2
, f
v
(u, v) =
45u
(u
2
+5v)
2
(f) f
x
(x, y, z) =
sin y
z
2
, f
y
(x, y, z) =
xcos y
z
2
, f
z
(x, y, z) = 2
xsin y
z
3
(g) f
x
(x, y) =
1
2
_
2x +
5
5x3y
2
_
(x
2
+ln (5x 3y
2
))
1
2
, f
y
(x, y) =
3y
5x3y
2
(x
2
+
ln (5x 3y
2
))
1
2
1.3 3
1.4
z
s
= t
2
e
st
2
sin (s
2
t) + 2ste
st
2
cos (s
2
t)
z
t
= 2ste
st
2
sin (s
2
t) + s
2
e
st
2
cos (s
2
t)
1.5 u is the depedent variable whereas x and y are the independent variables.
225
226 ANSWERS AND SOLUTIONS
1.6 We have
_
a
a
f(x)dx =
_
0
a
f(x)dx +
_
a
0
f(x)dx.
By the change of variable u = x we nd
_
0
a
f(u)du =
_
0
a
f(u)du =
_
a
0
f(u)du.
Hence, the result follows.
1.7 We have
_
a
a
f(x)dx =
_
0
a
f(x)dx +
_
a
0
f(x)dx.
By the change of variable u = x we nd
_
0
a
f(u)du =
_
0
a
f(u)du =
_
a
0
f(u)du.
Hence, the result follows.
1.8 By the product rule of derivatives we have
(uv)
= u
v + uv
.
Integrate both sides to obtain
uv =
_
u
vdx +
_
uv
dx.
Now subtract
_
u
_
sin
_
t
_
u
xx
= sin
_
x
_
sin
_
t
_
.
1.10
u
tt
= sin
_
x
_
sinh
_
t
_
u
xx
= sin
_
x
_
sinh
_
t
_
.
227
1.11
2
sup{
sinh
_
t
}
1.12 (a) We have sup{u
n
(x, 0) 1 : x R} =
1
n
sup{ sin nx : x R} =
1
n
.
(b) We have sup{u
n
(x, t) 1 : x R} =
e
n
2
t
n
Section 2
2.1 (a) For all 0 x < 1 we have lim
n
f
n
(x) = lim
n
x
n
= 0. Also,
lim
n
f
n
(1) = 1. Hence, the sequence {f
n
}
n=1
converges pointwise to f.
(b) Suppose the contrary. Let =
1
2
. Then there exists a positive integer N
such that for all n N we have
f
n
(x) f(x) <
1
2
for all x [0, 1]. In particular, we have
f
N
(x) f(x) <
1
2
for all x [0, 1]. Choose (0.5)
1
N
< x < 1. Then f
N
(x)f(x) = x
N
> 0.5 =
which is a contradiction. Hence, the given sequence does not converge uni
formly.
2.2 For every real number x, we have
lim
n
f
n
(x) = lim
n
nx + x
2
n
2
= lim
n
x
n
+ lim
n
x
2
n
2
= 0
Thus, {f
n
}
n=1
converges pointwise to the zero function on R.
2.3 For every real number x, we have
n + 1
f
n
(x)
1
n + 1
.
Moreover,
lim
n]rightarrow
1
n + 1
= 0.
Applying the squeeze rule for sequences, we obtain
lim
n]rightarrow
f
n
(x) = 0
228 ANSWERS AND SOLUTIONS
for all x in R. Thus, {f
n
}
n=1
converges pointwise to the zero function on R.
2.4 First of all, observe that f
n
(0) = 0 for every n in N. So the sequence
{f
n
(0)}
n=1
is constant and converges to zero. Now suppose 0 < x < 1 then
n
2
x
n
= n
2
e
nln x
. But ln x < 0 when 0 < x < 1, it follows that
lim
n
f
n
(x) = 0 for 0 < x < 1
Finally, f
n
(1) = n
2
for all n. So,
lim
n
f
n
(1) = 1.
Therefore, {f
n
}
n=1
is not pointwise convergent on [0, 1].
2.5 For
2
x < 0 and 0 < x
2
we have
lim
n
(cos x)
n
= 0.
For x = 0 we have f
n
(0) = 1 for all n in N. Therefore, {f
n
}
n=1
converges
pointwise to
f(x) =
_
0 if
2
x < 0 and 0 < x
2
1 if x = 0.
2.6 (a) Let > 0 be given. Let N be a positive integer such that N >
1
.
Then for n N
x
x
n
n
x
=
x
n
n
<
1
n
1
N
< .
Thus, the given sequence converges uniformly (and pointwise) to the function
f(x) = x.
(b) Since lim
n
f
n
(x) = 1 for all x [0, 1), the sequence {f
n
}
n=1
converges
pointwise to f
2 cos x sin
2
x
2(2n + sin
2
x
3
4n
.
Since lim
n
3
4n
=) we can nd a positive integer N such that if n N then
3
4n
< . Thus, for n N and all x R we have
f
n
(x)
1
2

3
4n
< .
This shows that f
n
1
2
uniformly on R and also on [2, 7].
(b) We have
lim
n
_
7
2
f
n
xdx =
_
7
2
lim
n
f
n
xdx =
_
7
2
1
2
dx =
5
2
.
2.9 We have proved earlier that this sequence converges pointwise to the
discontinuous function
f(x) =
_
0 if
2
x < 0 and 0 < x
2
1 if x = 0
Therefore, uniform convergence cannot occur for this given sequence.
2.10 (a) Using the squeeze rule we nd
lim
n
sup{f
n
(x) : 2 x 5} = 0.
230 ANSWERS AND SOLUTIONS
Thus, {f
n
}
n=1
converges uniformly to the zero function.
(b) We have
lim
n
_
5
2
f
n
(x)dx =
_
5
2
0dx = 0.
Section 3.
3.1 y =
1
2
(1 e
t
2
).
3.2 y(t) =
3t1
9
+ e
2t
+ Ce
3t
.
3.3 y(t) = 3 sin t
3 cos t
t
+
C
t
.
3.4 y(t) =
1
13
(3 sin (3t) + 2 cos (3t)) + Ce
2t
.
3.5 y(t) = Ce
sin t
3.
3.6 = 2.
3.7 p(t) = 2 and g(t) = 2t + 3.
3.8 y
0
= y(0) = 1 and g(t) = 2e
t
+ cos t + sin t.
3.9 1.
3.10 u(x, y) = f(bx ay)e
c
a
2
+b
2
(ax+by)
.
3.11 y(t) = t ln t + 7t.
3.12 Since p(t) = a we nd (t) = e
at
. Suppose rst that a = . Then
y
+ ay = be
at
and the corresponding general solution is
y(t) = bte
at
+ Ce
at
Thus,
lim
t
y(t) = lim
t
(
bt
e
at
+
C
e
at
)
= lim
t
b
ae
at
= 0
231
Now, suppose that a = then
y(t) =
b
a
e
t
+ Ce
at
Thus,
lim
t
y(t) = 0.
3.13 y(t) = (te
t
+ e
t
)
1
.
3.14 y(t) =
t
2
4
t
3
+
t
2
+
1
12t
2
.
3.15 y(t) = tSi(t) + (3 Si(1))t.
Section 4
4.1 y(t) =
_
3
2
e
t
2
+ C
_1
3
.
4.2 y(t) = Ce
t
2
2t
.
4.3 y(t) = Ct
2
+ 4.
4.4 y(t) =
2Ce
4t
1+Ce
4t
.
4.5 y(t) =
_
5 4 cos (2t).
4.6 y(t) =
_
(2 cos t + 4).
4.7 y(t) = e
1t
1.
4.8 y(t) =
2
8t+1
.
4.9 y(t) = tan (t + ) = tan t.
4.10 y(t) =
3e
2t
3+e
2t
.
4.11 =
1
2
, y
0
=
1
2
and n = 3.
4.12 u(x, y) = F(y)e
3x
+ G(x) where F(y) =
_
f(y)dy.
232 ANSWERS AND SOLUTIONS
4.13 y
2
+ cos y + cos t +
t
2
2
= 2.
4.14 3y
2
y
+ cos y + 2t = 0, y(2) = 0.
4.15 The ODE is not separable.
Section 5
5.1 y(t) = e
t
2e
3t
. lim
t
y(t) = 0 and lim
t
y(t) = .
5.2 y(t) = 2
2e
(2
2)t
+2
2e
(2+
2)t
. lim
t
y(t) = and lim
t
y(t) =
0.
5.3 y(t) = 2e
2
2
t
. lim
t
y(t) = and lim
t
y(t) = 0.
5.4 y
2y = 0.
5.5 y(t) = e
t
3
1
(1 t).
5.6 y(t) = e
2t
5
(t 1).
5.7 y(0) = 2 and y
(0) = 2.
5.8 y(t) = c
1
e
3t
+ c
2
te
3t
.
5.9 y(t) = 3e
t
cos t + 2e
t
sin t.
5.10 y(t) = e
1
2
(t+)
(3 cos
t
2
+ sin
t
2
).
5.11 y(t) = y
h
(t) + y
p
(t) = e
1
2
t
(c
1
cos
3
2
t + c
2
sin
3
2
t) +
6
73
cos 3t
16
73
sin 3t.
5.12 y(t) = y
h
(t) + y
p
(t) = c
1
e
(2
6)t
+ c
2
e
(2+
6)t
t
2
5
2
t 9.
5.13 y = Ax
4
+ Bx
4
ln x.
5.14 y = x
1
(Acos
3 ln x + Bsin
3 ln x).
233
5.15 (a)
n
= n
2
, y
n
(x) = sin nx, n = 1, 2, .
(b)
n
=
__
n
1
2
_
L
2
and y
n
= sin
_
L
_
n
1
2
_
x
_
, n = 1, 2, 3, .
(c)
n
=
_
_
n
1
2
__
2
, y
n
(x) = cos
_
_
n
1
2
__
x, n = 1, 2, .
5.16 We consider rst the cases (a) and (b). Multiply the equation by y
(x)
and integrate in x from 0 to L.
_
L
0
(ky
(x))
y(x)dx +
_
L
0
y
2
(x)dx = 0.
Use integration by parts in the rst integral
[ky
(x)y(x)]
L
0
_
L
0
k(y
(x))
2
dx +
_
L
0
y
2
(x)dx = 0.
The boundary term vanishes because of the boundary conditions. We solve
the above equation for and obtain
=
_
L
0
k(y
(x))
2
dx
_
L
0
y
2
(x)dx
0.
For the case (c), we repeat the above argument but by integrating from L
to L.
5.17 y(t) = 2e
t
2
.
5.18 y(t) = c
1
+ c
2
e
t
1
10
cos (2t) +
1
5
sin (2t) + 5te
t
5.19 y(t) =
17
15
e
t
+
1
6
e
2t
1
2
t
1
4
3
20
sin 2t
1
20
cos 2t.
Section 6
6.1 (a) ODE (b) PDE (c) ODE.
6.2 u
ss
= 0.
6.3 u
ss
+ u
tt
= 0.
6.4 (a) Order 3, nonlinear (b) Order 1, linear, homogeneous (c) Order 2,
234 ANSWERS AND SOLUTIONS
linear, inhomogeneous.
6.5 (a) Linear, homogeneous, order 3.
(b) Linear, inhomogeneous, order 4. The inhomogeneity is sin y.
(c) Nonlinear, order 2. The nonlinear term is uu
x
.
(d) Nonlinear, order 3. The nonlinear terms are u
x
u
xxy
and uu
y
.
(e) Linear, inhomogeneous, order 2. The inhomogeneity is f(x, y, t).
6.6 (a) Linear. (b) Linear. (c) Nonlinear. (d) Nonlinear.
6.7 (a) PDE, linear, second order, homogeneous.
(b) PDE, linear, second order, homogeneous.
(c) PDE, nonlinear, fourth order.
(d) ODE, linear, second order, nonhomogeneous.
(e) PDE, linear, second order, nonhomogeneous.
(f) PDE, quasilinear, second order.
6.8 A(x, y, z)u
xx
+B(x, y, z)u
xy
+C(x, y, z)u
yy
+E(x, y, z)u
xz
+F(x, y, z)u
yz
+
G(x, y, z)u
zz
H(x, y, z)u
x
+I(x, y, z)u
y
+J(x, y, z)u
z
+K(x, y, z)u = L(x, y, z).
6.9 (a) Order 3, linear, homogeneous.
(b) Order 1, nonlinear.
(c) Order 4, linear, nonhomogeneous
(d) Order 2, nonlinear.
(e) Order 2, linear, homogeneous.
6.10 u
ww
= 0.
6.11 u
vw
= 0.
6.12 u
vw
= 0.
6.13 u
s
= 0.
6.14 u
s
=
1
2
.
6.15 u
w
= u.
235
Section 7
7.1 a = b = 0.
7.2 Subtituting into the dierential equation we nd
tX
T XT
= 0
or
X
X
=
T
tT
.
The LHS is a function of x only whereas the RHS is a function of t only.
This is true only when both sides are constant. That is, there is such that
X
X
=
T
tT
=
and this leads to the two ODEs X
= X and T
= tT.
7.3 We have xu
x
+ (x + 1)yu
y
=
x
y
(e
x
+ xe
x
) + (x + 1)y
_
xe
x
y
2
_
= 0 and
u(1, 1) = e.
7.4 We have u
x
+u
y
+2u = e
2y
cos (x y)2e
2y
sin (x y)e
2y
cos (x y)+
2e
2y
sin (x y) = 0 and u(x, 0) = sin x.
7.5 (a) The general solution to this equation is u(x) = C where C is an
arbitrary constant.
(b) The general solution is u(x, y) = f(y) where f is an arbitrary function of
y.
7.6 (a) The general solution to this equation is u(x) = C
1
x + C
2
where
C
1
and C
2
are arbitrary constants.
(b) We have u
y
= f(y) where f is an arbitrary function of y. Hence, u(x, y) =
_
y
a
f(t)dt.
236 ANSWERS AND SOLUTIONS
7.7 Let v(x, y) = y + 2x. Then
u
x
=2f
v
(v) + g(v) + 2xg
v
(v)
u
xx
=4f
vv
(v) + 4g
v
(v) + 4xg
v
(v)
u
y
=f
v
(v) + xg
v
(v)
u
yy
=f
vv
(v) + xg
vv
(v)
u
xy
=2f
vv
(v) + g
v
(v) + 2xg
vv
(v)
Hence,
u
xx
4u
xy
+ 4u
yy
=4f
v
(v) + 4g
v
(v) + 4xg
v
(v)
8f
vv
(v) 4g
v
(v) 8xg
vv
(v)
+4f
vv
(v) + 4xg
vv
(v) = 0.
7.8 u
tt
= c
2
u
xx
.
7.9 Let v = x + p(u)t. Using the chain rule we nd
u
t
= f
v
v
t
= f
v
(p(u) + p
u
u
t
t).
Thus
(1 tf
v
p
u
)u
t
= f
v
p.
If 1 tf
v
p
u
= 0 on any tinterval I then f
v
p = 0 on I which implies that
f
v
= 0 or p = 0 on I. But either condition will imply that tf
v
p
u
= 0 and
this will imply that 1 = 1 tf
v
p
u
= 0, a contradiction. Hence, we must have
1 tf
v
p
u
= 0. In this case,
u
t
=
f
v
p
1 tf
v
p
u
.
Likewise,
u
x
= f
v
(1 + p
u
u
x
t)
or
u
x
=
f
v
1 tf
v
p
u
.
It follows that u
t
= p(u)u
x
.
If u
t
= sin uu
x
then p(u) = sin u so that the general solution is given by
u(x, t) = f(x + sin ut)
237
where f is an arbitrary dierentiable function in one variable.
7.10 u(x, y) = xf(x y) + g(x y).
7.11 Using integration by parts, we compute
_
L
0
u
xx
(x, t)u(x, t)dx = u
x
(x, t)u(x, t)
L
x=0
_
L
0
u
2
(x, t)dx
=u
x
(L, t)u(L, t) u
x
(0, t)u(0, t)
_
L
0
u
2
(x, t)dx
=
_
L
0
u
2
(x, t)dx 0
Note that we have used the boundary conditions u(0, t) = u(L, t) = 0 and
the fact that u
2
x
(x, t) 0 for all x [0, L].
7.12 (a) This can be done by plugging in the equations.
(b) Plug in.
(c) We have sup{u
n
(x, 0) 1 : x R} =
1
n
sup{ sin nx : x R} =
1
n
.
(d) We have sup{u
n
(x, t) 1 : x R} =
e
n
2
t
n
.
(e) We have lim
t
sup{u
n
(x, t) 1 : x R, t > 0} = lim
t
e
n
2
t
n
= .
Hence, the solution is unstable and thus the problem is illposed.
7.13 (a) u(x, y) = x
3
+ xy
2
+ f(y), where f is an arbitrary function.
(b) u(x, y) =
x
3
y
2
6
+ F(x) + g(y), where F(x) =
_
f(x)dx.
(c) u(x, t) =
1
18
e
2x+3t
.
7.14 (b) u(x, y) = xf(y 2x) + g(y 2x).
7.15 We have
u
t
=cu
v
cu
w
u
tt
=c
2
u
vv
2c
2
u
wv
+ c
2
u
ww
u
x
=u
v
+ u
w
u
xx
=u
vv
+ 2u
vw
+ u
ww
Substituting we nd u
vw
= 0 and solving this equation we nd u
v
= f(v)
and u(v, w) = F(v) + G(w) where F(v) =
_
f(v)dv.
238 ANSWERS AND SOLUTIONS
Finally, using the fact that v = x + ct and w = x ct; we get dAlemberts
solution to the onedimensional wave equation:
u(x, t) = F(x + ct) + G(x ct)
where F and G are arbitrary dierentiable functions.
Section 8
8.1 (a) Linear (b) Quasilinear, nonlinear (c) Nonlinear (d) Semilinear, non
linear.
8.2 Let w = 2x y. Then u
x
+ 2u
y
u = e
x
f(w) + 2e
x
f
w
(w) 2e
x
f
w
(w)
e
f
(w) = 0.
8.3 We have xu
x
yu
y
= x(
xy +
xy
2
y
) y
x
2
xy
= x
xy = u. Also,
u(y, y) = y
2
.
8.4 We have yu
x
+xu
y
= 2xy sin (x
2
+ y
2
) +2xy sin (x
2
+ y
2
) = 0. More
over, u(0, y) = cos y
2
.
8.5 We have
1
x
u
x
+
1
y
u
y
=
1
x
(x)+
1
y
(1+y) =
1
y
. Moreover, u(x, 1) =
1
2
(3x
2
).
8.6 3a 7b = 0.
8.7 Plug u = av + w into the equation. Using the linearity of L and the
assumptions on v and w, obtain
Lu = L(av + w) = aLv +Lw = 0 + f = f
for any constant a. Therefore, u solves the inhomogeneous equation for any a.
8.8 u
s
+
c
a
2
+b
2
= 0.
8.9 u(x, t) =
1
2
(x + y) + f(x y).
239
8.10 Using integration by parts we nd
dI
dt
(t) =
_
u
t
dx =
_
xu
x
dx
= xf(x)
udx
=
_
udx 0
Hence, I(t) is decreasing.
8.11 We have
u
x
=4e
4x
f(2x 3y) + 2e
4x
f
(2x 3y)
u
y
=3e
4x
f
(2x 3y)
Thus,
3u
x
+ 2u
y
+ 12u =12e
4x
f(2x 3y) + 6e
4x
f
(2x 3y)
6e
4x
f
1
3
t
1
9
.
9.7 Using the chain rule we nd w
t
= u
t
e
t
+ ue
t
and w
x
= u
x
e
t
. Substi
tuting these equations into the original equation we nd
w
t
e
t
u + w
x
e
t
+ u = 0
or
w
t
+ w
x
= 0
9.8 u(x, y) =
h(xy)
1yh(xy)
.
9.9 (a) w(x, t) is a solution to the equation follows from the principle of
superposition. Moreover, w(x, 0) = u(x, 0) v(x, 0) = f(x) g(x).
(b) w(x, t) = f(x ct) g(x ct).
(c) From (b) we see that
max
x,t
{u(x, t) v(x, t)} = max
x
{f(x) g(x)}.
Thus, small changes in the initial data produces small changes in the solu
tion. Hence, the problem is a wellposed problem.
9.10
u(x, t) =
_
g
_
t
x
c
_
e
c
x
if x < ct
0 if x > ct.
9.11 u(x, t) = sin
_
3t2x
2
_
.
9.12 u(x, y) =
1
2
(x + y) + f(x y).
9.13 (a) a = 1, b = 0, c = B, and d = A (b) u(x, y) = f(Bx Ay)e
C
A
x
.
241
9.14 u(x, y) = f(x y)e
x
.
9.15 u(x, y) = f(x y)e
x
+ x + y 2.
Section 10
10.1 The characteristics are hyperbolas: xy = k.
10.2 The characteristics are circles centered at the origin: x
2
+ y
2
= k.
10.3 The characteristics are parallel lines with common slope equals to
1 : x y = k.
10.4 f
_
y
x
,
1
2
xy arctan u
_
= 0 where f is an arbitrary dierentiable function.
10.5 f(y + u, y ln (y + u) x) or u = yg(y ln (y + u) x) where f and
g are arbitrary dierentiable functions.
10.6 f
_
y
x
,
u
x
_
= 0 or u = xg
_
y
x
_
where f and g are arbitrary dierentiable
functions.
10.7 f
_
y
x
,
u
x
n
_
= 0 or u = x
n
g
_
y
x
_
where f and g are arbitrary dieren
tiable functions.
10.8 f(x + y + z,
x
uy
) = 0 where f is an arbitrary dierentiable function.
10.9 f(xy, x
4
u
4
2xyu
2
) = 0, where f is an arbitrary dierentiable func
tion.
10.10 f(x
2
+ y
2
u
2
, xy + u) = 0 where f is an arbitrary dierentiable
function.
10.11 f(
y
u
, x
2
+ y
2
+ u
2
) = 0 where f is an arbitrary dierentiable func
tion.
10.12 u(x, y) = e
x
f(y 2x).
10.13 u(x, y) = f(y arctan x) for any dierentiable function f. The char
242 ANSWERS AND SOLUTIONS
acteristics are shown below.
10.14 u = e
x
f(ye
x
) where f is an arbitrary dierential function.
10.15 The characteristics are solutions to the DE
dy
dx
= x. Solving this ODE
we nd y =
x
2
2
+ C.
10.16 u = e
x
2
2
f(ye
x
) where f is an arbitrary dierentiable function of
one variable.
10.17 Solving
dy
dx
=
x
y
by the separation of variables we nd x
2
y
2
= k,
where k is a constant.
10.18 Solving
dy
dx
=
x
y
by the separation of variables we nd x
2
y
2
= k,
where k is a constant.
Section 11
11.1 u(x, y) =
1xy
x+y
, x + y = 0.
11.2 u(x, y) = (x + y)(x
2
y
2
).
11.3 2xyu + x
2
+ y
2
2u + 2 = 0.
11.4 u(x, y) = ln
_
x + 1
y
x
_
.
243
11.5 u(x, y) = f(xe
y
).
11.6 u(t, x) = f(x at).
11.7 u(x, y) =
1
sec (xay)y
.
11.8 u(x, y) = h
_
y
(x1)
2
2
(x 1)
_
e
x1
.
11.9 u(x, y) = f(x uy).
11.10 u(x, y) = y sin
1
x.
11.11 (i) y = Cx
2
. The characteristics are parobolas in the plane centered
at the origin. See gure below.
(ii) u(x, y) = e
yx
2
.
(iii) In the rst case, we cannot substitute x = 0 into yx
2
(the argument
of the function f, above) because x
2
is not dened at 0. Similarly, in the
second case, wed need to nd a function f so that f(0) = h(x). If h is not
constant, it is not possible to satisfy this condition for all x R.
(iv) All characteristics intersect at (0, 0). Since the solution is constant along
any characteristic, if the solution is not exactly constant for all (x, y), then
the limit of u(x, y) as (x, y) (0, 0) is dierent if we approach (0, 0) along
dierent characteristics. Therefore, the method doesnt work at that point.
244 ANSWERS AND SOLUTIONS
11.12 u(x, y) = e
y
cos (x y).
11.13 (a) u = e
x
f(ye
x
) where f is an arbitrary dierential function.
(b) We want 2 = u(x, 3x) = e
x
f(3e
x
e
x
) = e
x
f(3). This equation is impossi
ble so this Cauchy problem has no solutions.
(c) We want e
x
= e
x
f(e
x
e
x
) = f(1) = 1. In this case, there are innitely
many solutions to this Cauchy problem, namely, u(x, y) = e
x
f(ye
x
) where
f is an arbitrary function satisfying f(1) = 1.
11.14 u(x, y) = 1 + 2e
x
2
2
e
(4xy)
2
2
.
11.15 The Cauchy problem has no solutions.
11.16 (a) The characteristics satisfy the ODE
dy
dx
=
x
y
. Solving this equa
tion we nd x
2
y
2
= C. Thus, the characteristics are hyperbolas.
(b)
(c) The general solution to the PDE is u(x, y) = f(x
2
y
2
) where f is
an arbitrary dierentiable function. Since u(0, y) = e
y
2
we nd f(y) = e
y
.
Hence, u(x, y) = e
x
2
y
2
.
(d) This solution is only dened in the region covered by characteristics that
cross the y axis: y
2
x
2
> 0. The solution in the region y
2
x
2
< 0 can be
245
any function of the form u(x, y) = f(x
2
y
2
).
11.17 (a) Solving the ODE
dy
dx
= y we nd the characteristics ye
x
= C.
Thus, u(x, y) = f(ye
x
). If u(x, 0) = 1 then we choose f to be any arbitrary
dierentiable function satisfying f(0) = 1.
(b) The line y = 0 is a characteristic so that u has to be constant there.
Hence, there is no solution satisfying the condition u(x, 0) = x.
Section 12
12.1 (a) Hyperbolic (b) Parabolic (c) Elliptic.
12.2 (a) Ellitpic (b) Hyperbolic (c)Hyperbolic.
12.3 The PDE is of hyperbolic type if 4y
2
(x
2
+x +1) > 0. This is true for
all y = 0 and x
2
+ x + 1 > 0. Graphically, this is the inside of the parabola
x
2
+ x + 1 that opens up.
The PDE is of parabolic type if 4y
2
(x
2
+ x + 1) = 0. Since x
2
+ x + 1 > 0
for all x R, we must have y = 0. Graphically, this is xaxis.
The PDE is of elliptic type if 4y
2
(x
2
+ x + 1) < 0 which can not happen.
12.4 We have
u
x
(x, t) = sin x sin t,
u
xx
(x, t) = cos x sin t,
u
t
(x, t) = cos x cos t,
u
tt
(x, t) = cos x sin t.
Thus,
u
xx
(x, t) = cos x sin t = u
tt
(x, t),
u(x, 0) = sin x sin 0 = 0,
u
t
(x, 0) = cos x cos 0 = cos x,
u
x
(0, t) = sin 0 sin t = 0.
12.5 (a) Quasilinear (b) Semilinear (c) Linear (d) Nonlinear.
246 ANSWERS AND SOLUTIONS
12.6 We have
u
x
=
2x
x
2
+ y
2
u
xx
=
2y
2
2x
2
(x
2
+ y
2
)
2
u
y
=
2y
x
2
+ y
2
u
yy
=
2x
2
2y
2
(x
2
+ y
2
)
2
Plugging these expressions into the equation we nd u
xx
+ u
yy
= 0. Similar
argument holds for the second part of the problem.
12.7 Multiplying the equation by u and integrating, we obtain
_
L
0
u
2
(x)dx =
_
L
0
uu
xx
(x)dx
=[u(L)u
x
(L) u(0)u
x
(0)]
_
L
0
u
2
x
(x)dx
=
_
k
L
u
2
x
(L) + k
0
u
(
x
0) +
_
L
0
u
2
x
(x)dx
_
For > 0, because k
0
, k
L
> 0, the righthand side is nonpositive and the
lefthand side is nonnegative. Therefore, both sides must be zero, and there
can be no solution other than u 0, which is the trivial solution.
12.8 Substitute u(x, y) = f(x)g(y) into the left side of the equation to obtain
f(x)g(y)(f(x)g(y))
xy
= f(x)g(y)(f
(x)g
(x)g(y)f(x)g
(y) =
f(x)g(y)f
(x)g
(x + ct) cf
(x ct)) +
1
2c
[g(x + ct)(c) g(x ct)(c))
=
c
2
(f
(x + ct) f
(x ct)) +
1
2
(g(x + ct) + g(x ct))
u
tt
=
c
2
2
(f
(x + ct) + f
(x ct)) +
c
2
(g
(x + ct) g
(c xt))
u
x
(x, t) =
1
2
(f
(x + ct) + f
(x ct)) +
1
2c
[g(x + ct) g(x ct))
u
xx
(x, t) =
1
2
(f
(x + ct) + f
(x ct)) +
1
2c
[g
(x + ct) g
(x ct))
By substitutition we see that c
2
u
xx
= u
tt
. Moreover,
u(x, 0) =
1
2
(f(x) + f(x)) +
1
2c
_
x
x
g(s)ds = f(x)
and
u
t
(x, 0) = g(x).
12.13 (a) 1 + 4x
2
y > 0, (b) 1 + 4x
2
y = 0, (c) 1 + 4x
2
y = 0.
12.14 u(x, y) = f(y 3x) + g(x + y).
12.15 u(x, y) = f(y 3x) + g(x + y) =
10x
2
+y
2
7xy+6
6
.
Section 13
248 ANSWERS AND SOLUTIONS
13.1 Let z(x, t) = v(x, t) + w(x, t). Then we have
c
2
z
xx
=c
2
v
xx
+ c
2
w
xx
=v
tt
+ v
tt
=z
tt
.
13.2 Indeed we have c
2
u
xx
(x, t) = 0 = u
tt
(x, t).
13.3 u(x, t) = 0.
13.4 u(x, t) =
1
2
(cos (x 3t) + cos (x + 3t)).
13.5 u(x, t) =
1
2
_
1
1+(x+t)
2
+
1
1+(xt)
2
_
.
13.6 u(x, t) = 1 +
1
8
[sin (2 + 4t) sin (2 4t)].
13.7
u(x, t) =
_
_
_
1 if x 5t < 0 and x + 5t < 0
1
2
if x 5t < 0 and x + 5t > 0
0 if x 5t > 0.
13.8 u(x, t) =
1
2
[e
(x+ct)
2
+ e
(xct)
2
] +
t
2
+
1
4c
cos (2x) sin (2ct).
13.9 Just plug the translated/dierentiated/dialated solution into the wave
equation and check that it is a solution.
13.10 v(r) = Acos nr + Bsin nr.
13.11 u(x, t) =
1
2
[e
xct
+ e
x+ct
+
1
c
(cos (x ct) cos (x + ct))].
13.12 (a) We have
dE
dt
(t) =
_
L
0
(u
t
u
tt
+
_
L
0
c
2
u
x
u
xt
)dx
=
_
L
0
u
t
u
tt
dx + c
2
u
t
(L, t)u
x
(L, t) c
2
u
t
(0, t)u
x
(0, t) c
2
_
L
0
u
t
u
xx
dx
=c
2
u
t
(L, t)u
x
(L, t) c
2
u
t
(0, t)u
x
(0, t) +
_
L
0
u
t
(u
tt
c
2
u
xx
)dx
=c
2
(u
t
(L, t)u
x
(L, t) u
t
(0, t)u
x
(0, t))
249
since u
tt
c
2
u
xx
= 0.
(b) Since the ends are xed, we have u
t
(0, t) = u
t
(L, t) = 0. From (a) we
have
dE
dt
(t) = c
2
(u
t
(L, t)u
x
(L, t) u
t
(0, t)u
x
(0, t)) = 0.
(c) Assuming free ends boundary conditions, that is u
x
(0, t) = u
x
(L, t) = 0,
we nd
dE
dt
(t) = 0.
13.13 Using the previous exercise, we nd
dE
dt
(t) = d
_
L
0
(u
t
)
2
dx.
The righthand side is nonpositive, so the energy either decreases or is con
stant. The latter case can occur only if u
t
(x, t) is identically zero, which
means that the string is at rest.
13.14 (a) By the chain rule we have u
t
(x, t) = cR
(x ct) and u
tt
(x, t) =
c
2
R
(x ct). Likewise, u
x
(x, t) = R
(x ct) and u
xx
= R
(x ct). Thus,
u
tt
= c
2
u
xx
. (b) We have
_
L
0
(u
t
)
2
dx =
_
L
0
c
2
2
[R
(x ct)]
2
dx =
_
L
0
c
2
2
(u
x
)
2
dx.
13.15 u(x, t) = x
2
+ 4t
2
1
4
sin 2x sin 4t.
Section 14
14.1 Let z(x, t) = u(x, t) + v(x, t). Then we have
kz
xx
=ku
xx
+ kv
xx
=u
t
+ v
t
=z
t
.
14.2 Indeed we have ku
xx
(x, t) = 0 = u
t
(x, t).
14.3 u(x, t) = T
0
+
T
L
T
0
L
x.
14.4 Let u be the solution to (14.1) that satises u(0, t) = u(L, t) = 0. Let
250 ANSWERS AND SOLUTIONS
w(x, t) be the time independent solution to (14.1) that satises w(0, t) = T
0
and w(L, t) = T
L
. That is, w(x, t) = T
0
+
T
L
T
0
L
x. From Exercise 14.1,
the function u(x, t) = u(x, t) + w(x, t) is a solution to (14.1) that satis
es u(0, t) = T
0
and u(L, t) = T
L
.
14.5 u(x, t) = 0.
14.6 Substituting u(x, t) = X(x)T(t) into (14.1) we obtain
k
X
X
=
T
T
.
Since X only depends on x and T only depends on t, we must have that
there is a constant such that
k
X
X
= and
T
T
= .
This gives the two ordinary dierential equations
X
k
X = 0 and T
T = 0.
14.7 (a) Letting =
k
> 0 we obtain the ODE X
X = 0 whose general
solution is given by X(x) = Ae
x
+ Be
x
for some constants A and B.
(b) The condition u(0, t) = 0 implies that X(0) = 0 which in turn implies
A+B = 0. Likewise, the condition u(L, t) = 0 implies Ae
L
+Be
L
= 0.
Hence, A(e
L
e
L
) = 0.
(c) If A = 0 then B = 0 and u(x, t) is the trivial solution which contradicts
the assumption that u is nontrivial. Hence, we must have A = 0.
(d) Using (b) and (c) we obtain e
L
= e
L
. Since L > 0, the number
on the left is greater than 1 whereas the number on the right is less than
1. Hence, we must have A = B = 0 which leads to the trivial solution, a
contradiction. Hence, we must have < 0.
14.8 (a)Now, write = > 0. Then we obtain the equation X
+
k
X = 0
whose general solution is given by
X(x) = c
1
cos x + c
2
sin x
where =
_
k
=
_
k
.
(b) Using X(0) = 0 we obtain c
1
= 0. Since c
2
= 0 we must have sin L = 0.
251
Thus, =
kn
2
2
L
2
, where n is an integer.
14.9 For each integer n 0 we have u
n
(x, t) =
cn
T(0)
T(0)e
kn
2
2
L
2
t
sin
_
n
L
_
x
is a solution to (14.1). By superposition, u(x, t) is also a solution to (14.1).
Moreover, u(0, t) = u(L, t) = 0 since u
n
(0, t) = u
n
(L, t) = 0.
14.10 (i) u(0, t) = 0 and u(a, t) = 100 for t > 0.
(ii) u
t
(0, t) = u
t
(a, t) = 0 for t > 0.
14.11 Solving this problem we nd u(x, t) = e
t
sin x. We have
E(t) =
_
0
[e
2t
sin
2
x + e
2t
cos
2
x]dx =
_
0
e
2t
dt = e
2t
.
Thus, E
(t) = 2e
2
t
< 0 for all t > 0.
14.12 E(t) =
_
L
0
f(x)dx + (1 + 4L)t.
14.13 v(x) = x + 2.
14.14 (a) v(x) =
T
L
x.
(b) v(x) = T.
(c) v(x) = x + T.
(d) v(x) =
x
2
2
+
_
T
2
T
1
L
+
L
2
_
x + T
1
.
14.15 (a) We rst consider the intervals 0 < x < L and L < x < 2L
independently, and denote by u
1
(x) and u
2
(x) the temperature distributions
in the respective intervals. Thus,
u(x) =
_
u
1
(x) 0 < x < L
u
2
(x) L < x < 2
The steady temperature satises the onedimensional Laplace equation, so
we have
u
1
= 0, 0 < x < L; u
2
= 0, L < x < 2L.
Solving the equations, we nd
u
1
(x) = C
1
x + C
2
, 0 < x < L; u
2
(x) = C
3
x + C
4
, L < x < 2L.
252 ANSWERS AND SOLUTIONS
We have the following conditions to determine the constants:
u
1
(0) = T
1
, u
2
(2L) = T
2
(boundary conditions)
u
1
(L) = u
2
(L) (continuity of the temperature)
k
1
u
1
(L) = k
2
u
2
(L) (continuity of the heat ux)
From the rst two conditions,
u
1
(x) = T
1
+ C
1
x, u
2
(x) = T
2
+ C
3
(x 2L).
From the last condition,
k
1
C
1
= k
2
C
3
=C
3
=
k
1
k
2
C
1
.
Finally, from the continuity of the temperature,
T
1
+ C
1
L = T
2
C
3
L =C
1
+ C
3
=
T
2
T
1
L
,
and we obtain
C
1
=
k
2
k
1
+ k
2
T
2
T
1
L
, C
3
=
k
1
k
1
+ k
2
T
2
T
1
L
.
Thus,
u
1
(x) = T
1
+ (T
2
T
1
)
k
2
k
1
+ k
2
x
L
, u
2
(x) = T
2
+ (T
2
T
1
)
k
1
k
1
+ k
2
x 2L
L
.
(b) If L = 1, T
1
= 0, T
2
= 100, k
1
= 2, k
2
= 1 we nd
u
1
(x) =
100
3
x, u
2
(x) =
200
3
x
100
3
.
The temperature is a piecewise linear function which has slope
100
3
for 0 <
x < 1 and slope
200
3
for 1 < x < 2.
14.16 (a) E(t) =
_
L
0
cu(x, t)dx.
(b) We integrate the equation in x from 0 to L :
_
L
0
cu
t
(x, t)dx =
_
L
0
Ku
xx
dx = Ku
x
(x, t)
L
0
= 0,
253
since u
x
(0, t) = u
x
(L, t) = 0. The lefthand side can also be written as
d
dt
_
L
0
cu(x, t)dx = E
(t).
Thus, we have shown that E
x
3
6
+ x + C
2
_
dx =
_
L
0
f(x)dx = E(0).
Performing the integration and then solving for C
2
we nd
C
2
=
1
L
_
L
0
f(x)dx +
L
3
24
L
2
.
Therefore, the steadystate solution is
u(x) =
1
L
_
L
0
f(x)dx +
L
3
24
L
2
+ x
x
3
6
.
254 ANSWERS AND SOLUTIONS
Section 15
15.1 (a) We have (fg)(x + T) = f(x + T)g(x + T) = f(x)g(x) = (fg)(x).
(b) We have (c
1
f +c
2
g)(x+T) = c
1
f(x+T)+c
2
g(x+T) = c
1
f(x)+c
2
g(x) =
(c
1
f + c
2
g)(x).
15.2 (a) For n = m we have
_
L
L
sin
_
m
L
x
_
sin
_
n
L
x
_
dx =
1
2
_
L
L
_
cos
_
(m + n)
L
x
_
cos
_
(mn)
L
x
__
dx
=
1
2
_
L
(m + n)
sin
_
(m + n)
L
x
_
L
(mn)
sin
_
(mn)
L
x
__
L
L
=0
where we used the trigonometric identiy
sin a sin b =
1
2
[cos (a + b) + cos (a b)].
(b) For n = m we have
_
L
L
cos
_
m
L
x
_
sin
_
n
L
x
_
dx =
1
2
_
L
L
_
sin
_
(m + n)
L
x
_
sin
_
(mn)
L
x
__
dx
=
1
2
_
L
(m + n)
cos
_
(m + n)
L
x
_
+
L
(mn)
cos
_
(mn)
L
x
__
L
L
=0
where we used the trigonometric identiy
cos a sin b =
1
2
[sin (a + b) sin (a b)].
15.3 (a) L (b) L (c) 0.
255
15.4
a
0
=
1
f(x)dx = 0
a
n
=
1
cos nxdx +
_
0
cos nxdx = 0
b
n
=
1
sin nxdx +
_
0
sin nxdx
=
2
n
[1 (1)
n
]
15.5 f(x) =
1
6
+
n=1
4
(n)
2
(1)
n
cos (nx).
15.6 f(x) =
n=1
2
n
_
cos
_
n
2
_
(1)
n
sin
_
nx
2
_
.
15.7 f(x) =
n=1
4
(n)
2
[1 (1)
n
] cos
_
n
2
x
_
.
15.8 Since the sided limits at the point of discontinuity x = 0 do not exist,
the function is not piecewise continuous in [1, 1].
15.9 Dene the function
g(a) =
_
L+a
L+a
f(x)dx.
Using the fundamental theorem of calculus, we have
dg
da
=
d
da
_
L+a
L+a
f(x)dx
=f(L + a) f(L + a) = f(L + a + 2L) f(L + a)
=f(L + a) f(L + a) = 0
Hence, g is a constant function, and in particular we can write g(a) = g(0)
for all a R which gives the desired result.
256 ANSWERS AND SOLUTIONS
15.10 (i) f(x) =
10
3
+
n=1
[
1
n
sin
_
2n
3
_
cos
_
2nx
3
_
+(
1
n
_
cos
_
2n
3
_
+ 1
_
) sin
_
2nx
3
_
.
(ii) Using the theorem discussed in class, because this function and its deriva
tive are piecewise continuous, the Fourier series will converge to the function
at each point of continuity. At any point of discontinuity, the Fourier series
will converge to the average of the left and right limits.
(iii)
.
15.11 (a) a
0
= 2, a
n
= b
n
= 0 for n N.
(b) a
0
= 4, a
n
= 0, b
1
= 1, and b
n
= 0.
(c) a
0
= 1, a
n
= 0, b
n
=
1
n
[1 (1)
n
], n N.
(d) a
0
= a
n
= 0, b
n
=
2L
n
(1)
n+1
, n N.
15.12 1
15.13 a
n
= 0 for all n N.
15.14
f(0
)+f(0
+
)
2
=
+
2
= 0.
15.15 (a) f(x) =
3
2
+
2
n=1
sin (2n1)x
2n1
.
(b)
n=1
(1)
n+1
2n1
=
4
.
Section 16
16.1 f(x) = 0.
16.2
257
16.3
16.4
258 ANSWERS AND SOLUTIONS
16.5 f(x) =
4
+
n=1
2
n
2
[2 cos (n/2) 1 (1)
n
] cos nx.
16.6 f(x) =
2
+
n=1
2
n
2
[(1)
n
1] cos nx.
16.7 f(x) =
n=1
2
n
[1 (1)
n
] sin nx.
16.8 f(x) =
2
pi
n=1
n
_
1+(1)
n
n
2
1
_
sin nx.
16.9 f(x) =
1
2
(e
2
1) +
n=1
4
4+n
2
2
cos (nx).
16.10 (i) The formulas for the cosine and sine series of a function f(x)
on an interval [0, 2] are, respectively
a
0
2
+
n=1
a
n
cos
_
nx
2
_
, a
n
=
_
2
0
x cos
_
nx
2
_
dx
n=1
b
n
sin
_
nx
2
_
, b
n
=
_
2
0
x sin
_
nx
2
_
dx.
(ii) By the theorem discussed in class, since the function is continuously dif
ferentiable , the Fourier sine series will converge pointwise to f on the open
259
interval (0, 2).
(iii) By the theorem discussed in class, since the function is continuously
dierentiable , the Fourier cosine series will converge pointwise to f on the
open interval (0, 2).
(iv) The key point is that the even extension is continuous on [2; 2], and so
its cosine series will be pointwise convergent everywhere. However, its odd
extension has a jump discontinuity at x = 2, so there the sine series will
converge to the average of its left and right limit, which is zero.
The graph of the even extension is shown on the left, and that of odd exten
sion is shown on the right.
On the left, the limit of the cosine series, which converges pointwise to the
even extension on the entire closed interval. On the right, the limit of the sine
series, which converges pointwise to the odd extension everywhere except at
x = 2, where it converges to 0, the average of the left and right limits of
the odd extension there.
260 ANSWERS AND SOLUTIONS
16.11 (a) If f(x) = sin
_
2
L
x
_
then b
n
= 0 of n = 2 and b
2
= 1.
(b) If f(x) = 1 then
b
n
=
2
L
_
L
0
sin
_
n
L
x
_
dx =
2
n
[1 (1)
n
].
(c) If f(x) = cos
_
L
x
_
then
b
1
=
2
L
_
L
0
cos
_
L
x
_
sin
_
L
x
_
dx = 0
and for n = 1 we have
b
n
=
2
L
_
L
0
cos
_
L
x
_
sin
_
L
x
_
dx
=
1
2
2
L
_
L
0
_
sin
_
x
L
_
(1 + n) sin
_
x
L
_
(1 n)
_
dx
=
1
L
_
L
(1 + n)
cos
_
x
L
_
(1 + n) +
L
1 n
cos
_
x
L
_
(1 n)
_
L
0
=
2n
(n
2
1)
[1 + (1)
n
].
16.12 (a) a
0
= 10 and a
1
= 1, and a
n
= 0 for n = 1.
(b) a
0
= L and a
n
=
2L
(n)
2
[(1)
n
1], n N.
(c) a
0
= 1 and a
n
=
2
n
sin
_
n
2
_
, n N.
16.13 By denition of Fourier sine coecients,
b
n
=
2
L
_
L
0
f(x) sin
_
n
L
x
_
dx
The symmetry around x =
L
2
can be written as
f
_
L
2
+ y
_
= f
_
L
2
y
_
for all y R. To use this symmetry it is convenient to make the change of
variable x =
L
2
+ y in the above integral to obtain
b
n
=
_ L
2
L
2
f
_
L
2
+ y
_
sin
_
n
L
_
L
2
+ y
__
dx.
261
Since f
_
L
2
+ y
_
is even in y and for n even sin
_
n
L
_
L
2
+ y
_
= sin
_
ny
L
_
is
odd in y, the integrand of the above integral is odd in y for n even. Since
the intergral is from
L
2
to
L
2
we must have b
n
= 0 for all n N.
16.14 By denition of Fourier cosine coecients,
a
n
=
2
L
_
L
0
f(x) cos
_
n
L
x
_
dx
The antisymmetry around x =
L
2
can be written as
f
_
L
2
y
_
= f
_
L
2
+ y
_
for all y R. To use this symmetry it is convenient to make the change of
variable x =
L
2
+ y in the above integral to obtain
a
n
=
_ L
2
L
2
f
_
L
2
+ y
_
cos
_
n
L
_
L
2
+ y
__
dx.
Since f
_
L
2
+ y
_
is odd in y and for n even cos
_
n
L
_
L
2
+ y
_
= cos
_
ny
L
_
is
even in y, the integrand of the above integral is odd in y for n even. Since
the intergral is from
L
2
to
L
2
we must have a
n
= 0 for all n = 0, 1, 2, .
16.15 sin
_
nx
L
_
=
2
n=2
1+(1)
n
n
2
1
cos
_
nx
L
_
.
16.16 (a)
262 ANSWERS AND SOLUTIONS
(b) a
0
=
2
2
_
2
0
f(x)dx = 3.
(c) We have
a
n
=
2
2
_
2
0
f(x) cos
_
nx
2
_
dx
=
_
1
0
cos
_
nx
2
_
dx +
_
2
1
2 cos
_
nx
2
_
dx
=
2
n
sin
_
nx
2
_
1
0
+ 2
2
n
sin
_
nx
2
_
2
1
=
2
n
sin
_
n
2
_
.
(d) b
n
= 0 since this is an even function.
(e)
f(x) =
3
2
+
n=1
_
2
n
sin
_
n
2
_
_
cos
_
nx
2
_
.
Section 17
17.1 We look for a solution of the form u(x, y) = X(x)Y (y). Substituting in
the given equation, we obtain
X
Y + XY
+ XY = 0.
Assuming X(x)Y (y) is nonzero, dividing for X(x)Y (y) and subtract both
sides for
X
(x)
X(x)
, we nd:
(x)
X(x)
=
Y
(y)
Y (y)
+ .
The left hand side is a function of x while the right hand side is a function
of y. This says that they must equal to a constant. That is,
(x)
X(x)
=
Y
(y)
Y (y)
+ = .
where is a constant. This results in the following two ODEs
X
+ X = 0 and Y
+ ( )Y = 0.
263
If > 0 and > 0 then
X(x) =Acos x + Bsin x
Y (y) =C cos ( )y + Dsin ( )y
If > 0 and < 0 then
X(x) =Acos x + Bsin x
Y (y) =Ce
()y
+ De
()y
If = > 0 then
X(x) =Acos x + Bsin x
Y (y) =Cy + D
If = < 0 then
X(x) =Ae
x
+ Be
x
Y (y) =Cy + D
If < 0 and > 0 then
X(x) =Ae
x
+ Be
x
Y (y) =C cos ( )y + Dsin ( )y
If < 0 and < 0 then
X(x) =Ae
x
+ Be
x
Y (y) =Ce
()y
+ De
()y
.
17.2 Lets assume that the solution can be written in the form u(x, t) =
X(x)T(t). Substituting into the heat equation we obtain
X
X
=
T
kT
.
Since X only depends on x and T only depends on t, we must have that
there is a constant such that
X
X
= and
T
kT
= .
264 ANSWERS AND SOLUTIONS
This gives the two ordinary dierential equations
X
X = 0 and T
kT = 0.
Next, we consider the three cases of the sign of .
Case 1: = 0
In this case, X
= 0 and T
x
+ Be
x
and T(t) = Ce
kt
.
Case 3: < 0
In this case, X(x) = Acos
x + Bsin
(r) + rR
() + () = 0.
17.4 X
= (2 + )X, T
= T, X(0) = 0, X(1) = 0.
17.5 X
X = 0, T
= kT, X
(0) = 0 = X
(L).
17.6 u(x, t) = e
(xt)
.
17.7 5X
7X
X = 0 and 3Y
= 0.
17.8 u(x, y) = Ce
x
y
.
17.9 u(x, y) = Ce
x
y
.
17.10 We look for a solution of the form u(x, y) = X(x)T(t). Substitut
ing in the wave equation, we obtain
X
(x)T(t) X(x)T
(t) = 0.
Assuming X(x)T(t) is nonzero, dividing for X(x)T(t) we nd:
X
(x)
X(x)
=
T
(t)
T(t)
.
265
The left hand side is a function of x while the right hand side is a function
of t. This says that they must equal to a constant. That is,
X
(x)
X(x)
=
T
(t)
T(t)
=
where is a constant. This results in the following two ODEs
X
X = 0 and T
T = 0.
The solutions of these equations depend on the sign of .
If > 0 then the solutions are given
X(x) =Ae
x
+ Be
x
T(t) =Ce
t
+ De
t
where A, B, C, and D are constants. In this case,
u(x, t) = k
1
e
(x+t)
+ k
2
e
(xt)
+ k
3
e
(x+t)
+ k
4
e
(xt)
.
If = 0 then
X(x) =Ax + B
T(t) =Ct + D
where A, B, and C are arbitrary constants. In this case,
u(x, t) = k
1
xt + k
2
x + k
3
t + k
4
.
If < 0 then
X(x) =Acos
x + Bsin
x
T(t) =Acos
t + Bsin
t
where A, B, C, and D are arbitrary constants. In this case,
u(x, t) =k
1
cos
x cos
t + k
2
cos
x sin
t
+k
3
sin
x cos
t + k
4
sin
x sin
t.
17.11 (a) u(r, t) = R(r)T(t), T
(t) = kT,
1
r
(rR
= R.
266 ANSWERS AND SOLUTIONS
(b) u(x, t) = X(x)T(t), T
+ T = kT, R
= R.
(c) u(x, t) = X(x)T(t), T
= T, kX
aX
= X.
(d) u(x, t) = X(x)Y (y), X
= X, Y
= Y.
(e) u(x, t) = X(x)T(t), T
= kT, X
= X.
17.12 u(x, y) = Ce
(x+y)
.
17.13 X
= X, Y
+ Y = Y.
Section 18
18.1 u(x, t) = sin
_
2
x
_
e
2
k
4
t
+ 3 sin
_
5
2
x
_
e
25
2
k
4
t
.
18.2 u(x, t) =
8d
n=1
1
(2n1)
3
sin
_
(2n1)
L
x
_
e
k(2n1)
2
2
L
2
t
.
18.3 u(x, t) =
2
n=1
1
(4n
2
1)
cos
_
2n
L
x
_
e
k
4n
2
2
L
2
t
.
18.4 u(x, t) =
n=1
C
n
sin
_
n
L
x
_
e
n
2
2
L
2
t
where
C
n
=
_
_
_
4
n
n = 2, 6, 10,
0 n = 4, 8, 12,
6
n
n is odd.
18.5 u(x, t) = 6 sin
_
9
L
x
_
e
81
2
L
2
t
.
18.6 u(x, t) =
1
2
+
n=1
C
n
cos
_
n
L
x
_
e
n
2
2
L
2
t
where
C
n
=
_
_
_
2
n
n = 1, 5, 9,
2
n
n = 3, 7, 11,
0 n is even
18.7 u(x, t) = 6 + 4 cos
_
3
L
x
_
e
9
2
L
2
t
.
18.8 u(x, t) = 3 cos
_
8
L
x
_
e
64
2
L
2
t
.
18.9
u(x, t) =
n=0
a
n
cos
_
(2n + 1)
2L
x
_
e
(2n+1)
2
2
4L
2
t
.
267
As t , e
(2n+1)
2
2
4L
2
t
0 for each n N. Hence, u(x, t) 0.
18.10
u(x, t) =
n=0
a
n
cos
_
(n
L
x
_
e
1+
n
2
2
L
2
t
.
As t , e
1+
n
2
2
L
2
t
0 for each n N. Hence, u(x, t) 0.
18.11 (b) We have
E
(t) =2
_
1
0
w(x, t)w
t
(x, t)dx
=2
_
1
0
w(x, t)[w
xx
(x, t) w(x, t)]dx
= 2w(x, t)w
x
(x, t)
1
0
2
__
1
0
w
2
x
(x, t)dx +
_
1
0
w
2
(x, t)dx
_
=2
__
1
0
w
2
x
(x, t)dx +
_
1
0
w
2
(x, t)dx
_
0
Hence, E is decreasing, and 0 E(t) E(0) for all t > 0.
(c) Since w(x, 0) = 0, we must have E(0) = 0. Hence, E(t) = 0 for all t 0.
This implies that w(x, t) = 0 for all t > 0 and all 0 < x < 1. Therefore
u
1
(x, t) = u
2
(x, t). This means that the given problem has a unique solution.
18.12 (a) u(0, t) = 0 and u
x
(1, t) = 0.
(b) Lets assume that the solution can be written in the form u(x, t) =
X(x)T(t). Substituting into the heat equation we obtain
X
X
=
T
kT
.
Since X only depends on x and T only depends on t, we must have that
there is a constant such that
X
X
= and
T
kT
= .
This gives the two ordinary dierential equations
X
X = 0 and T
kT = 0.
268 ANSWERS AND SOLUTIONS
As far as the boundary conditions, we have
u(0, t) = 0 = X(0)T(t) =X(0) = 0
and
u
x
(1, t) = 0 = X
(1)T(t) =X
(1) = 0.
Note that T is not the zero function for otherwise u 0 and this contradicts
our assumption that u is the nontrivial solution.
(c) We have X
cos
x and X
= sin
x. Thus, X
X = 0.
Moreover X(0) = 0. Now, X
= 0 or
=
_
n
1
2
_
, n N. Hence, =
_
n
1
2
_
2
2
.
18.13 (a) Lets assume that the solution can be written in the form u(x, t) =
X(x)T(t). Substituting into the heat equation we obtain
X
X
=
T
kT
.
Since the LHS only depends on x and the RHS only depends on t, then there
must be a constant such that
X
X
= and
T
kT
= .
This gives the two ordinary dierential equations
X
X = 0 and T
kT = 0.
As far as the boundary conditions, we have
u(0, t) = 0 = X(0)T(t) =X(0) = 0
and
u(L, t) = 0 = X(L)T(t) =X(L) = 0.
Note that T is not the zero function for otherwise u 0 and this contradicts
our assumption that u is the nontrivial solution.
Next, we consider the three cases of the sign of .
Case 1: = 0
In this case, X
x
+Be
x
. Again, the conditions X(0) = X(L) =
0 imply A = B = 0 and hence the solution is the trivial solution.
Case 3: < 0
In this case, X(x) = Acos
x + Bsin
L = 0. We must
have B = 0 otherwise X(x) = 0 and this leads to the trivial solution. Since
B = 0, we obtain sin
L = 0 or
2
L
2
. Thus, we obtain innitely many solutions given by
X
n
(x) = A
n
sin
n
L
x, n N.
Now, solving the equation
T
kT = 0
by the method of separation of variables we obtain
T
n
(t) = B
n
e
n
2
2
L
2
kt
, n N.
Hence, the functions
u
n
(x, t) = C
n
sin
_
n
L
x
_
e
n
2
2
L
2
kt
, n N
satisfy u
t
= ku
xx
and the boundary conditions u(0, t) = u(L, t) = 0.
Now, in order for these solutions to satisfy the initial value condition u(x, 0) =
6 sin
_
9x
L
_
, we invoke the superposition principle of linear PDE to write
u(x, t) =
n=1
C
n
sin
_
n
L
x
_
e
n
2
2
L
2
kt
. (1)
To determine the unknown constants C
n
we use the initial condition u(x, 0) =
6 sin
_
9x
L
_
in (1) to obtain
6 sin
_
9x
L
_
=
n=1
C
n
sin
_
n
L
x
_
.
270 ANSWERS AND SOLUTIONS
By equating coecients we nd C
9
= 6 and C
n
= 0 if n = 9. Hence, the
solution to the problem is given by
u(x, t)6 sin
_
9x
L
_
e
81
2
L
2
kt
.
(b) Similar to (a), we nd
u(x, t) = 3 sin
_
L
x
_
e
2
kt
L
2
sin
_
3
L
x
_
e
9
2
kt
L
2
18.14 u(x, t) = cos
_
x
L
_
e
pi
2
kt
L
2
+ 4 cos
_
5x
L
_
e
25pi
2
kt
L
2
.
(b) u(x, t) = 5.
18.15 u(x, t) = 6 sin xe
8t
.
Section 19
19.1 u(x, y) =
n=1
B
n
sin
_
n
b
y
_
sinh
_
n
b
x
_
where
B
n
=
_
2
b
_
b
0
f
2
(y) sin
_
n
b
y
_
dy
_
_
sinh
_
n
b
a
__
1
.
19.2 u(x, y) =
n=1
B
n
sin
n
a
x sinh
_
n
a
(y b)
_
where
B
n
=
_
2
a
_
a
0
g
1
(x) sin
_
n
a
x
_
dx
_
[sinh
_
n
a
b
_
]
1
.
19.3 u(x, y) = 2xy +
3
sinh
sin x sinh y.
19.4 If u(x, y) = x
2
y
2
then u
xx
= 2 and u
yy
= 2 so that u = 0.
If u(x, y) = 2xy then u
xx
= u
yy
= 0 so that u = 0.
19.5
u(x, y) =
n=1
[A
n
cosh
_
n
L
y
_
+ B
n
sinh
_
n
L
y
_
] sin
n
L
x.
where
A
n
=
_
2
L
_
L
0
(f
1
(x) + f
2
(x)) sin
n
L
xdx
_ _
cosh
_
nH
2L
__
1
271
and
B
n
=
_
2
L
_
L
0
(f
2
(x) f
1
(x)) sin
n
L
xdx
_ _
sinh
_
nH
2L
__
1
19.6 (a) Dierentiating term by term with respect to x we nd
u
x
+ iv
x
=
n=0
na
n
(x + iy)
n1
.
Likewise, dierentiating term by term with respect to y we nd
u
y
+ iv
y
=
n=0
na
n
i(x + iy)
n1
.
Multiply this equation by i we nd
iu
y
+ v
y
=
n=0
na
n
(x + iy)
n1
.
Hence, u
x
+ iv
x
= v
y
iu
y
which implies u
x
= v
y
and v
x
= u
y
.
(b) We have u
xx
= (v
y
)
x
= (v
x
)
y
= u
yy
so that u = 0. Similar argument
for v = 0.
19.7 Polar and Cartesian coordinates are related by the expressions x =
r cos and y = r sin where r = (x
2
+ y
2
)
1
2
and tan =
y
x
. Using the chain
272 ANSWERS AND SOLUTIONS
rule we obtain
u
x
=u
r
r
x
+ u
x
= cos u
r
sin
r
u
u
xx
=u
xr
r
x
+ u
x
x
=
_
cos u
rr
+
sin
r
2
u
sin
r
u
r
_
cos
+
_
sin u
r
+ cos u
r
cos
r
u
sin
r
u
__
sin
r
_
u
y
=u
r
r
y
+ u
y
= sin u
r
+
cos
r
u
u
yy
=u
yr
r
y
+ u
y
y
=
_
sin u
rr
cos
r
2
u
+
cos
r
u
r
_
sin
+
_
cos u
r
+ sin u
r
sin
r
u
+
cos
r
u
__
cos
r
_
Substituting these equations into (21.1) we obtain the dersired equation.
19.8 u(x, y) = u
1
(x, y) + u
2
(x, y) + u
3
(x, y) + u
4
(x, y) where
u
1
(x, y) = 0
u
2
(x, y) =
n=1
_
2
n
(1)
n
sinh
_
3n
2
_
_
sin
n
2
x sinh
_
n
2
y
_
u
3
(x, y) =
1
sinh
_
8
3
_ sinh
_
4(x 2)
3
_
sin
_
4
3
y
_
u
4
(x, y) =
n=1
14(1 (1)
n
)
n sinh
_
2n
3
_ sin
_
n
3
y
_
sinh
_
n
3
x
_
.
19.9
u(x, y) =
4
sinh
_
L
2H
_
_
sinh
_
x
2H
_
sinh
_
(x L)
2H
__
cos
y
2H
.
273
19.10 u(x, t) = A
0
+
n=1
A
n
e
nx
cos
n
y where
A
0
=
1
H
_
H
0
f(y)dy
A
n
=
2
H
_
H
0
f(y) cos
n
H
ydy.
19.11 u(x, y) =
20
Y
1
(H)
Y
1
(y) sin
_
x
L
_
5
Y
3
(H)
sin
_
3x
L
_
.
19.12 u(x, y) = sin (2x)e
2y
.
19.13 u(x, y) = y.
19.14 u(x, y) =
1
2
x
2
1
2
y
2
ax
b
y + C where C is an arbitrary constant.
19.15 u(x, y) =
2 cosh 3y sin 3x
cosh 6
5 cosh 10y sin 10x
cosh 20
.
Section 20
20.1 u(r, ) = 3r
5
sin 5.
20.2 u(r, ) =
4
+
n=1
r
n
_
1(1)
n
n
2
cos n +
sin n
n
_
.
20.3 u(r, ) = C
0
+ r
2
cos 2.
20.4 Substituting C
0
, A
n
, and B
n
into the righthand side of u(r, ) we nd
u(r, ) =
1
2
_
2
0
f()d +
n=1
r
n
a
n
_
2
0
f() [cos ncos n + sin nsin n] d
=
1
2
_
2
0
f()
_
1 + 2
n=1
_
r
a
_
n
cos n( )
_
d.
20.5 (a) We have e
it
= cos t + i sin t and e
it
= cos t i sin t. The result
follows by adding these two equalities and dividing by 2.
(b) This follows from the fact that
cos n( ) =
1
2
(e
in()
+ e
in()
).
274 ANSWERS AND SOLUTIONS
(c) We have q
1
 =
r
a
_
cos ( )
2
+ sin ( )
2
=
r
a
< 1 since 0 < r < a. A
similar argument shows that q
2
 < 1.
20.6 (a) The rst sum is a convergent geometric series with ratio q
1
and
sum
n=1
_
r
a
_
n
e
in()
=
r
a
e
i()
1 q
1
=
re
i()
a re
i()
Similar argument for the second sum.
(b) We have
1 + 2
n=1
_
r
a
_
n
cos n( ) =1 +
re
i()
a re
i()
+
re
i()
a re
i()
=1 +
r
ae
i()
r
+
r
ae
i()
r
=1 +
r
a cos ( ) r ai sin ( )
+
r
a cos ( ) r + ai sin ( )
=1 +
r[a cos ( ) r + ai sin ( )]
a
2
+ 2ar cos ( ) + r
2
+
r[a cos ( ) r ai sin ( )]
a
2
2ar cos ( ) + r
2
=
a
2
r
2
a
2
2ar cos ( ) + r
2
.
275
20.7 We have
u(r, ) =
1
2
_
2
0
f()
_
1 + 2
n=1
_
r
a
_
n
cos n( )
_
d
=
1
2
_
2
0
f()
a
2
r
2
a
2
2ar cos ( ) + r
2
d
=
a
2
r
2
2
_
2
0
f()
a
2
2ar cos ( ) + r
2
d.
20.8 u(r, ) = 2
n=1
(1)
n+1
r
n sin n
n
.
20.9 (a) Dierentiating u(r, t) = R(r)T(t) with respect to r and t we nd
u
tt
= RT
and u
r
= R
T and u
rr
= R
T.
Substituting these into the given PDE we nd
RT
= c
2
_
R
T +
1
r
R
T
_
Dividing both sides by c
2
RT we nd
1
c
2
T
T
=
R
R
+
1
r
R
R
.
Since the RHS of the above equation depends on r only, and the LHS depends
on t only, they must equal to a constant .
(b) The given boundary conditions imply
u(a, t) = 0 = R(a)T(t) =R(a) = 0
u(r, 0) = f(r) = R(r)T(0)
u
t
(r, 0) = g(r) = R(r)T
(0).
If = 0 then R
+
1
r
R
c
2
T = 0. This equation has the solution
T(t) = Acos (c
t) + Bsin (c
t).
276 ANSWERS AND SOLUTIONS
The condition u(r, 0) = f(r) implies that A = f(r) which is not possible.
Hence, < 0.
20.10 (a) Follows from the gure and the denitions of trigonometric func
tions in a right triangle.
(b) The result follows from equation (20.1).
20.11 By the maximum principle we have
min
(x,y)
u(x, y) u(x, y) max
(x,y)
u(x, y), (x, y)
But min
(x,y)
u(x, y) = u(1, 0) = 1 and max
(x,y)
u(x, y) = u(1, 0) = 3.
Hence,
1 u(x, y) 3
and this implies that u(x, y) > 0 for all (x, y) .
20.12 (i) u(1, 0) = 4 (ii) u(1, 0) = 2.
20.13 Using the maximum principle and the hypothesis on g
1
and g
2
, for
all (x, y) we have
min
(x,y)
u
1
(x, y) = min
(x,y)
g
1
(x, y)
u
1
(x, y) max
(x,y)
u
1
(x, y)
= max
(x,y)
g
1
(x, y) < max
(x,y)
g
2
(x, y)
min
(x,y)
g
1
(x, y) = min
(x,y)
u
2
(x, y)
u
2
(x, y) max
(x,y)
u
2
(x, y) = max
(x,y)
g
2
(x, y).
20.14 We have
(r
n
cos (n)) =
2
r
2
(r
n
cos (n)) +
1
r
r
(r
n
cos (n)) +
1
r
2
2
(r
n
cos (n))
=n(n 1)r
n2
cos (n) + nr
n2
cos (n) r
n2
n
2
cos (n) = 0
Likewise, (r
n
sin (n)) = 0.
277
20.15 u(r, ) =
1
2
r
2
2a
2
cos 2.
20.16 u(r, ) = ln 2 + 4
_
a
r
_
3
cos 3.
Section 21
21.1 Convergent.
21.2 Divergent.
21.3 Convergent.
21.4
1
s3
, s > 3.
21.5
1
s
2
5
s
, s > 0.
21.6 f(t) = e
(t1)
2
does not have a Laplace transform.
21.7
4
s
4
s
2
+
2
s
3
, s > 0.
21.8
e
s
s
2
, s > 0.
21.9
e
2s
s
+
1
s
2
(e
s
e
2s
), s = 0.
21.10
t
n
e
st
s
+
n
s
_
t
n1
e
st
dt, s > 0.
21.11 (a) 0 (b) 0.
21.12
5
s+7
+
1
s
2
+
2
s2
, s > 2.
21.13 3e
2t
, t 0.
21.14 2t + e
t
, t 0.
21.15 2(e
2t
+ e
2t
), t 0.
21.16
2
s1
+
5
s
, s > 1.
278 ANSWERS AND SOLUTIONS
21.17
e
s
s3
, s > 3.
21.18
1
2
_
1
s
s
2
s
2
+4
2
_
, s > 0.
21.19
3
s
2
+26
, s > 0.
21.20
s3
(s3)
2
+9
, s > 3.
21.21
2
(s4)
3
+
3
(s4)
2
+
5
s4
, s > 4.
21.22 2 sin 5t + 4e
3t
, t 0.
21.23
5
6
e
3t
t
3
, t 0.
21.24
_
0, 0 t < 2
e
9(t2)
, t 2.
21.25 3e
3t
3e
t
, t 0.
21.26 4[e
3(t5)
e
3(t5)
]H(t 5), t 0.
21.27 y(t) = 2e
4t
+3[H(t1)H(t3)] 3[e
4(t1)
H(t1)e
4(t3)
H(t
3)], t 0.
21.28
1
5
e
3t
+
1
20
e
2t
1
4
e
2t
, t 0.
21.29
e
t
e
2t
3
.
21.30
t
2
sin t.
21.31
t
5
120
.
21.32
1
2
e
t
+
1
2
e
2t
.
21.33 t +
e
t
2
e
t
2
.
Section 22
279
22.1 u(x, t) = sin (x t) H(t x) sin (x t).
22.2 u(x, t) = [sin (x t) H(t x) sin (x t)]e
t
.
22.3 u(x, t) = 2e
4
2
t
sin x + 6e
16
2
t
sin 2x.
22.4 u(x, t) = [sin (x t) H(t x) sin (x t)]e
t
.
22.5 u(x, t) = t
2
e
x
te
x
+ t.
22.6 u(x, t) =
_
t
1
2
x
2
_
H
_
t
1
2
x
2
_
.
22.7 u(x, t) = L
1
_
e
s
c
x
s
2
+1
_
= H
_
t
x
c
_
sin
_
t
x
c
_
.
22.8 u(x, t) = 2 sin x cos 3t.
22.9 u(x, y) = y(x + 1) + 1.
22.10 u(x, t) = L
1
_
e
s
c
x
s
2
+1
_
= h
_
t
x
c
_
sin
_
t
x
c
_
.
22.11 u(x, t) = e
5x
e
4t
H(t).
22.12 u(x, t) = L
1
_
T
s
e
s
c
x
+
T
s
_
.
22.13 u(x, t) = 5e
3
2
t
sin (x).
22.14 u(x, t) = 40e
t
cos
x
2
.
22.15 u(x, t) = 3 sin x cos 2t.
Section 23
23.1
(1)
n
i
n
.
23.2 f(x) =
1
2
+
n=1
1
n
sin
_
n
2
_
(e
inx
+ e
inx
).
280 ANSWERS AND SOLUTIONS
23.3 f(x) =
sinh a
n=
(1)
n
(a+in)
(a
2
+n
2
)
e
inx
.
23.4 f(x) =
e
ix
e
ix
2i
.
23.5 f(x) =
1
2
_
T +
1
n=
i
n
[e
int
1]e
int
+
n=1
i
n
[e
int
1]e
int
_
.
23.6 (a) f(x) =
2
3
+
1
n=
2
n
2
(1)
n
e
inx
+
n=1
2
n
2
(1)
n
e
inx
.
(b) f(x) =
2
3
+
n=1
4
n
2
(1)
n
cos nx.
23.7 (a)
a
0
=2
_ 1
2
1
2
sin nxdx =
2
[cos
2
cos
2
] = 0
a
n
=2
_ 1
2
1
2
sin nx cos 2nxdx = 0
b
n
=2
_ 1
2
1
2
sin nx sin 2nxdx =
8(1)
n
n
4n
2
(b) f(x) =
4
n=
(1)
n
n
i(14n
2
)
e
2nix
.
23.8 (a)
a
0
=
1
2
_
2
2
(2 x)dx = 4
a
n
=
1
2
_
2
2
(2 x) cos
_
n
2
x
_
dx = 0
b
n
=
1
2
_
2
2
(2 x) sin
_
n
2
x
_
dx =
4(1)
n
n
(b) f(x) = 2 +
1
n=
2(1)
n+1
i
n
e
(
in
2
x)
+
n=1
2(1)
n+1
i
n
e
(
in
2
x)
.
23.9 a
n
= c
n
+ c
n
= 0. We have for n odd b
n
= i
4
in
=
4
n
and for
n even b
n
= 0.
23.10 Note that for any complex number z we have z + z = 2Re(z) and
z z = 2iRe(z). Thus,
c
n
+ c
n
= a
n
281
which means that a
n
= 2Re(c
n
). Likewise, we have
c
n
c
n
= ib
n
That is ib
n
= 2iIm(c
n
). Hence, b
n
= 2Im(c
n
).
23.11 a
n
= 2Re(c
n
) =
1
n
sin (nT) and b
n
=
1cos (nT)
n
.
23.12 f(x) = i
n=
i sin (2in)
2in
e
in
2
x
.
23.13 (a) We have
f(t) =
_
1 0 < t < 1
0 1 < t < 2
and f(t + 2) = f(t) for all t R.
(b) We have
a
0
=
2
L
_
L
0
f(x)dx =
_
2
0
dx =
_
1
0
dx = 1
a
n
=
_
1
0
cos nxdx =
sin n
n
= 0.
(c) We have
b
n
=
_
1
0
sin nxdx =
1 cos n
n
=
1 (1)
n
n
.
Hence,
b
n
=
_
2
n
if n is odd
0 if n is even
(d) We have c
0
=
a
0
2
=
1
2
and for n N we have
c
n
=
a
n
ib
n
2
=
_
i
n
if n is odd
0 if n is even
23.14 sin 3x =
1
2
(e
3ix
e
3ix
).
23.15 e
ins
_
1e
inh
2in
_
.
282 ANSWERS AND SOLUTIONS
Section 24
24.1
f() =
_
2
sin
if = 0
2 if = 0.
24.2
u
t
+ ic u = 0
u(, 0) =
f().
24.3
2
u
t
2
= c
2
2
u
u(, 0) =
f()
u
t
(, 0) = g().
24.4
u
yy
=
2
u
u(, 0) = 0, u(, L) =
2 sin a
.
24.5
1
i
+
1
+i
=
2
2
+
2
.
24.6 We have
F[e
x
H(x)] =
_
e
x
H(x)e
ix
dx
=
_
0
e
x(1+i)
dx =
e
x(1+i)
1 + i
0
=
1
1 + i
.
24.7 Using the duality property, we have
F
_
1
1 + ix
_
= F[F[e
H()]] = 2e
H().
283
24.8 We have
F[f(x )] =
_
f(x )e
ix
dx
=e
i
_
f(u)e
iu
du
=e
i
f()
where u = x .
24.9 We have
F[e
ix
f(x)] =
_
e
ix
f(x)e
ix
dx =
_
e
ix(
f(x)e
ix
dx =
f( ).
24.10 We will just prove the rst one. We have
F[cos (x)f(x)] =F[
f(x)e
ix
2
+ f(x)
e
ix
2
=
1
2
[F[f(x)e
ix
] +F[f(x)e
ix
]]
=
1
2
[
f(x ) +
f(x + )].
24.11 Using the denition and integration by parts we nd
F[f
(x)] =
_
(x)e
ix
dx
= f(x)e
ix
+ (i)
_
f(x)e
ix
dx
=f(x) cos x if(x) sin x + (i)
f() = (i)
f()
where we used the fact that lim
x
f(x) = 0.
24.12
2
2
(1 cos ).
24.13
2
i
(1 cos a).
284 ANSWERS AND SOLUTIONS
24.14 F
1
[
f()] =
1
2
e
x
2
2
.
24.15 F
1
_
1
a+i
_
= e
ax
, x 0.
Section 25
25.1 u(x, t) = f(x) F
1
[
1

e
y
].
25.2 u(x, t) = F
1
[u(, t)] = e
(xct)
2
4
.
25.3
u(x, t) =
_
4
e
t
F
1
[e
2
(kt+
4
)
]
=
_
4
e
t
_
kt + /4
e
x
2
4(kt+/4)
=
4kt + e
x
2
4kt+
e
t
.
25.4 u(x, t) =
1
4kt
_
0
e
(xs)
2
4kt
ds.
25.5
u(x, t) =e
t
F
1
[e
2
t
]
=e
t
1
4t
e
x
2
4t
.
25.6 We have
_
e
y
e
ix
d =
_
0
e
y
e
ix
d +
_
0
e
y
e
ix
d
=
1
y + ix
e
(y+ix)
+
1
y + ix
e
(y+ix)
0
=
1
y + ix
+
1
y + ix
=
2y
x
2
+ y
2
.
285
25.7
u(x, y) =
1
2
_
f()e
y
e
ix
d
=
1
2
f(x)
_
2y
x
2
+ y
2
_
=
1
2
_
f(x)
2y
(x )
2
+ y
2
d.
25.8 u
tt
+ ( + ) u
t
+ u = c
2
2
u.
25.9 u(x, t) = e
(x3t)
.
25.10 u(x, t) = e
(xkt)
.
25.11 u(x, t) =
1
4kt
_
e
s
2
(xs)
2
4kt
ds.
25.12 u(x, t) = (x ct)
2
.
25.13 u(x, t) = f(x) F
1
[
1

e
y
].